MONTE CARLO EVALUATION OF AMERICAN OPTIONS USING CONSUMPTION PROCESSES (Q5483499): Difference between revisions

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-Q231627
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+Grigori N. Milstein
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+MaRDI publication profile
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+A QUANTIZATION TREE METHOD FOR PRICING AND HEDGING MULTIDIMENSIONAL AMERICAN OPTIONS
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+Q4742671
@@ Property / cites work: Q4742671 / rank @@
+Normal rank
@@ Property / cites work @@
+Monte Carlo methods for security pricing
@@ Property / cites work: Monte Carlo methods for security pricing / rank @@
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+Pricing American-style securities using 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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+Iterative construction of the optimal Bermudan stopping time
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+Valuing American Options by Simulation: A Simple Least-Squares Approach
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+A NEW MONTE CARLO METHOD FOR AMERICAN OPTIONS
@@ Property / cites work: A NEW MONTE CARLO METHOD FOR AMERICAN OPTIONS / rank @@
+Normal rank
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+Monte Carlo construction of hedging strategies against multi-asset European claims
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+Transition density estimation for stochastic differential equations via forward-reverse represen\-ta\-tions
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+Monte Carlo valuation of American options
@@ Property / cites work: Monte Carlo valuation of American options / rank @@
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+Robust Libor Modelling and Pricing of Derivative Products
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+Q5283920
@@ Property / cites work: Q5283920 / rank @@
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+Publication:5483499