The difference between LSMC and replicating portfolio in insurance liability modeling (Q2356640): Difference between revisions

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+Pricing life insurance contracts with early exercise features
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+Regression-based algorithms for life insurance contracts with surrender guarantees
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+A dynamic look-ahead Monte Carlo algorithm for pricing Bermudan options
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+Pricing Bermudan options by nonparametric regression: optimal rates of convergence for lower estimates
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+Pricing and hedging guaranteed annuity options via static option replication.
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+Q3415147
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+Improved lower and upper bound algorithms for pricing American options by simulation
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+Valuation of the early-exercise price for options using simulations and nonparametric regression
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+An analysis of a least squares regression method for American option pricing
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+Q3223360
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+The longstaff-Schwartz algorithm for Lévy models: results on fast and slow convergence
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+Q4453509
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+Fair valuation of life insurance liabilities: The impact of interest rate guarantees, surrender options, and bonus policies
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+Some applications of Loewner's ordering on symmetric matrices
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+CONTINGENT CLAIMS VALUED AND HEDGED BY PRICING AND INVESTING IN A BASIS
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+Mathematical analysis of different approaches for replicating portfolios
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+Convergence rates and asymptotic normality for series estimators
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+The value of an Asian option
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+Assessing the least squares Monte-Carlo approach to American option valuation
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+Quantitative error estimates for a least-squares Monte Carlo algorithm for American option pricing
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