Implied stopping rules for American basket options from Markovian projection (Q5234298): Difference between revisions

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+Computational Methods for Option Pricing
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+A QUANTIZATION TREE METHOD FOR PRICING AND HEDGING MULTIDIMENSIONAL AMERICAN OPTIONS
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+Asymptotics Beats Monte Carlo: The Case of Correlated Local Vol Baskets
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+Smoothing the payoff for efficient computation of Basket option prices
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+Adaptive weak approximation of reflected and stopped diffusions
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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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+The Pricing of Options and Corporate Liabilities
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+Pricing American-style securities using simulation
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+Empirical properties of asset returns: stylized facts and statistical issues
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+Risk aggregation and stochastic claims reserving in disability insurance
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+Pricing multi-asset American options: A finite element method-of-Lines with smooth penalty
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+Multilevel Monte Carlo Methods
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+Number of paths versus number of basis functions in American option pricing
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+Mimicking the one-dimensional marginal distributions of processes having an Ito differential
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+Numerical techniques for the valuation of basket options and their Greeks
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+Pricing American Options: A Duality Approach
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+Quasi-Monte Carlo Methods in Numerical Finance
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+Far Field Boundary Conditions for Black--Scholes Equations
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+Adaptive \(\theta \)-methods for pricing American options
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+Valuing American Options by Simulation: A Simple Least-Squares Approach
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+Option pricing in subdiffusive Bachelier model
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+Fast deterministic pricing of options on Lévy driven assets
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+Monte Carlo valuation of American options
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+HOW CLOSE ARE THE OPTION PRICING FORMULAS OF BACHELIER AND BLACK-MERTON-SCHOLES?
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+Quantitative error estimates for a least-squares Monte Carlo algorithm for American option pricing
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+CONVERGENCE OF A LEAST‐SQUARES MONTE CARLO ALGORITHM FOR AMERICAN OPTION PRICING WITH DEPENDENT SAMPLE DATA
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