Pricing of American options in discrete time using least squares estimates with complexity penalties (Q433745): Difference between revisions

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+Application of kernel-based stochastic gradient algorithms to option pricing
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+Pricing Bermudan options by nonparametric regression: optimal rates of convergence for lower estimates
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+A Measure of Asymptotic Efficiency for Tests of a Hypothesis Based on the sum of Observations
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+Monte Carlo algorithms for optimal stopping and statistical learning
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+A dynamic look-ahead Monte Carlo algorithm for pricing Bermudan options
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+Mathematics of financial markets
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+A distribution-free theory of nonparametric regression
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@@ Property / cites work @@
+Nonparametric regression with additional measurement errors in the dependent variable
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@@ Property / cites work @@
+Multivariate orthogonal series estimates for random design regression
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@@ Property / cites work @@
+A regression-based smoothing spline Monte Carlo algorithm for pricing American options in discrete time
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@@ Property / cites work @@
+PRICING OF HIGH-DIMENSIONAL AMERICAN OPTIONS BY NEURAL NETWORKS
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@@ Property / cites work @@
+Upper bounds for Bermudan options on Markovian data using nonparametric regression and a reduced number of nested Monte Carlo steps
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+Optimal stopping of Markov processes: Hilbert space theory, approximation algorithms, and an application to pricing high-dimensional financial derivatives
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+Least squares estimation with complexity penalties
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+Publication:433745