Multilevel dual approach for pricing American style derivatives (Q377450): Difference between revisions

@@ Property / author @@
-John G. M. Schoenmakers
@@ Property / author: John G. M. Schoenmakers / rank @@
-Normal rank
@@ Property / author @@
+John G. M. Schoenmakers
@@ Property / author: John G. M. Schoenmakers / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+G60
@@ Property / Mathematics Subject Classification ID: 91G60 / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+G20
@@ Property / Mathematics Subject Classification ID: 91G20 / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+C05
@@ Property / Mathematics Subject Classification ID: 65C05 / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+G40
@@ Property / Mathematics Subject Classification ID: 60G40 / rank @@
+Normal rank
@@ Property / zbMATH DE Number @@
+6223041
@@ Property / zbMATH DE Number: 6223041 / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+American option
@@ Property / zbMATH Keywords: American option / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+optimal stopping
@@ Property / zbMATH Keywords: optimal stopping / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+dual approach
@@ Property / zbMATH Keywords: dual approach / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+multilevel Monte Carlo
@@ Property / zbMATH Keywords: multilevel Monte Carlo / rank @@
+Normal rank
@@ Property / describes a project that uses @@
+Wavelet and Multiscale Library
@@ Property / describes a project that uses: Wavelet and Multiscale Library / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / full work available at URL @@
+https://doi.org/10.1007/s00780-013-0208-5
+Normal rank
@@ Property / OpenAlex ID @@
+W2120301464
@@ Property / OpenAlex ID: W2120301464 / rank @@
+Normal rank
@@ Property / cites work @@
+A quantization algorithm for solving multidimensional discrete-time optimal stopping problems
+Normal rank
@@ Property / cites work @@
+Pricing Bermudan options by nonparametric regression: optimal rates of convergence for lower estimates
+Normal rank
@@ Property / cites work @@
+TRUE UPPER BOUNDS FOR BERMUDAN PRODUCTS VIA NON‐NESTED MONTE CARLO
+Normal rank
@@ Property / cites work @@
+Enhanced policy iteration for American options via scenario selection
+Normal rank
@@ Property / cites work @@
+Improved lower and upper bound algorithms for pricing American options by simulation
+Normal rank
@@ Property / cites work @@
+Valuation of the early-exercise price for options using simulations and nonparametric regression
+Normal rank
@@ Property / cites work @@
+Q4895161
@@ Property / cites work: Q4895161 / rank @@
+Normal rank
@@ Property / cites work @@
+Multilevel Monte Carlo Path Simulation
@@ Property / cites work: Multilevel Monte Carlo Path Simulation / rank @@
+Normal rank
@@ Property / cites work @@
+A Simple Derivation of and Improvements to Jamshidian's and Rogers' Upper Bound Methods for Bermudan Options
+Normal rank
@@ Property / cites work @@
+Pricing American Options: A Duality Approach
@@ Property / cites work: Pricing American Options: A Duality Approach / rank @@
+Normal rank
@@ Property / cites work @@
+Upper Bounds for Bermudan Style Derivatives
@@ Property / cites work: Upper Bounds for Bermudan Style Derivatives / rank @@
+Normal rank
@@ Property / cites work @@
+Iterative construction of the optimal Bermudan stopping time
+Normal rank
@@ Property / cites work @@
+Valuing American Options by Simulation: A Simple Least-Squares Approach
+Normal rank
@@ Property / cites work @@
+Monte Carlo valuation of American options
@@ Property / cites work: Monte Carlo valuation of American options / rank @@
+Normal rank
@@ Property / cites work @@
+Robust Libor Modelling and Pricing of Derivative Products
+Normal rank
@@ Property / cites work @@
+Optimal Dual Martingales, Their Analysis, and Application to New Algorithms for Bermudan Products
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:377450