A deep learning approach for computations of exposure profiles for high-dimensional Bermudan options (Q2243318): Difference between revisions

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-Cornelis W. Oosterlee
@@ Property / author: Cornelis W. Oosterlee / rank @@
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+Cornelis W. Oosterlee
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+CVA with Wrong-Way Risk in the Presence of Early Exercise
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+Deep optimal stopping
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+TRUE UPPER BOUNDS FOR BERMUDAN PRODUCTS VIA NON‐NESTED MONTE CARLO
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+Improved lower and upper bound algorithms for pricing American options by simulation
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+The Valuation of American Options on Multiple Assets
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+EFFICIENT COMPUTATION OF EXPOSURE PROFILES FOR COUNTERPARTY CREDIT RISK
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+Pricing early-exercise and discrete barrier options by Fourier-cosine series expansions
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+A Fourier-Based Valuation Method for Bermudan and Barrier Options under Heston's Model
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+Quadratic Convergence for Valuing American Options Using a Penalty Method
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+ADI Schemes for Pricing American Options under the Heston Model
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+A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
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+The stochastic grid bundling method: efficient pricing of Bermudan options and their Greeks
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+PRICING OF HIGH-DIMENSIONAL AMERICAN OPTIONS BY NEURAL NETWORKS
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+On the Use of Policy Iteration as an Easy Way of Pricing American Options
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+Two-Dimensional Fourier Cosine Series Expansion Method for Pricing Financial Options
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+An upwind approach for an American and European option pricing model
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+A fast Fourier transform technique for pricing American options under stochastic volatility
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+Publication:2243318