Multilevel Simulation Based Policy Iteration for Optimal Stopping--Convergence and Complexity (Q2945162): Difference between revisions

From MaRDI portal
Set OpenAlex properties.
ReferenceBot (talk | contribs)
Changed an Item
 
Property / cites work
 
Property / cites work: A quantization algorithm for solving multidimensional discrete-time optimal stopping problems / rank
 
Normal rank
Property / cites work
 
Property / cites work: Pricing Bermudan Options via Multilevel Approximation Methods / rank
 
Normal rank
Property / cites work
 
Property / cites work: Multilevel dual approach for pricing American style derivatives / rank
 
Normal rank
Property / cites work
 
Property / cites work: Enhanced policy iteration for American options via scenario selection / rank
 
Normal rank
Property / cites work
 
Property / cites work: An iterative method for multiple stopping: convergence and stability / rank
 
Normal rank
Property / cites work
 
Property / cites work: Valuation of the early-exercise price for options using simulations and nonparametric regression / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4895161 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3219268 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Multilevel Monte Carlo Path Simulation / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4433608 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Nested Simulation in Portfolio Risk Measurement / rank
 
Normal rank
Property / cites work
 
Property / cites work: Pricing American Options: A Duality Approach / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3266141 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Iterative construction of the optimal Bermudan stopping time / rank
 
Normal rank
Property / cites work
 
Property / cites work: Valuing American Options by Simulation: A Simple Least-Squares Approach / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4315289 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Monte Carlo valuation of American options / rank
 
Normal rank

Latest revision as of 17:34, 10 July 2024

scientific article
Language Label Description Also known as
English
Multilevel Simulation Based Policy Iteration for Optimal Stopping--Convergence and Complexity
scientific article

    Statements

    Multilevel Simulation Based Policy Iteration for Optimal Stopping--Convergence and Complexity (English)
    0 references
    0 references
    0 references
    9 September 2015
    0 references
    optimal stopping
    0 references
    policy iteration
    0 references
    multilevel Monte Carlo
    0 references

    Identifiers

    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references