On regression-based stopping times (Q708889): Difference between revisions

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+Benjamin van Roy
@@ Property / author: Benjamin van Roy / rank @@
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+MaRDI publication profile
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@@ Property / full work available at URL @@
+https://doi.org/10.1007/s10626-009-0062-y
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+W1984669689
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@@ Property / cites work @@
+A generalized Kalman filter for fixed point approximation and efficient temporal-difference learning
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@@ Property / cites work @@
+An analysis of a least squares regression method for American option pricing
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@@ Property / cites work @@
+Q4433608
@@ Property / cites work: Q4433608 / rank @@
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+Number of paths versus number of basis functions in American option pricing
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+Valuing American Options by Simulation: A Simple Least-Squares Approach
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@@ Property / cites work @@
+Q4527015
@@ Property / cites work: Q4527015 / rank @@
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@@ Property / cites work @@
+Optimal stopping of Markov processes: Hilbert space theory, approximation algorithms, and an application to pricing high-dimensional financial derivatives
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