Multilevel dual approach for pricing American style derivatives (Q377450): Difference between revisions

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+A quantization algorithm for solving multidimensional discrete-time optimal stopping problems
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+Pricing Bermudan options by nonparametric regression: optimal rates of convergence for lower estimates
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+TRUE UPPER BOUNDS FOR BERMUDAN PRODUCTS VIA NON‐NESTED MONTE CARLO
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+Enhanced policy iteration for American options via scenario selection
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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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+Q4895161
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+Multilevel Monte Carlo Path Simulation
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+A Simple Derivation of and Improvements to Jamshidian's and Rogers' Upper Bound Methods for Bermudan Options
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+Pricing American Options: A Duality Approach
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+Upper Bounds for Bermudan Style Derivatives
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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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+Monte Carlo valuation of American options
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+Robust Libor Modelling and Pricing of Derivative Products
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+Optimal Dual Martingales, Their Analysis, and Application to New Algorithms for Bermudan Products
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