An improved least squares Monte Carlo valuation method based on heteroscedasticity (Q1694951): Difference between revisions

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+On improving the least squares Monte Carlo option valuation method
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+Pricing Bermudan options by nonparametric regression: optimal rates of convergence for lower estimates
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+Pricing Bermudan Options via Multilevel Approximation Methods
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+Valuation of energy storage: an optimal switching approach
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+Valuation of the early-exercise price for options using simulations and nonparametric regression
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+THE EVALUATION OF AMERICAN OPTION PRICES UNDER STOCHASTIC VOLATILITY AND JUMP-DIFFUSION DYNAMICS USING THE METHOD OF LINES
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+The implication of missing the optimal-exercise time of an American option
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+An approximate moving boundary method for American option pricing
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+An analysis of a least squares regression method for American option pricing
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+Q5200620
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+A dynamic look-ahead Monte Carlo algorithm for pricing Bermudan options
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+An improved method for pricing and hedging long dated American options
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+Number of paths versus number of basis functions in American option pricing
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+Specification tests of calibrated option pricing models
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+A Review on Regression-based Monte Carlo Methods for Pricing American Options
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+Pricing multi-asset American options: A finite element method-of-Lines with smooth penalty
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+Refining the least squares Monte Carlo method by imposing structure
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+On the robustness of least-squares Monte Carlo (LSM) for pricing American derivatives
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+On the stability the least squares Monte Carlo
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+Sequential Monte Carlo pricing of American-style options under stochastic volatility models
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+Assessing the least squares Monte-Carlo approach to American option valuation
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+Pricing and hedging American-style options: a simple simulation-based approach
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+Quantitative error estimates for a least-squares Monte Carlo algorithm for American option pricing
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