CONVERGENCE OF A LEAST‐SQUARES MONTE CARLO ALGORITHM FOR AMERICAN OPTION PRICING WITH DEPENDENT SAMPLE DATA (Q4635047): Difference between revisions

Latest revision as of 11:16, 15 July 2024

scientific article; zbMATH DE number 6859730

Language	Label	Description	Also known as
English	CONVERGENCE OF A LEAST‐SQUARES MONTE CARLO ALGORITHM FOR AMERICAN OPTION PRICING WITH DEPENDENT SAMPLE DATA	scientific article; zbMATH DE number 6859730

Statements

instance of

scholarly article

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title

CONVERGENCE OF A LEAST‐SQUARES MONTE CARLO ALGORITHM FOR AMERICAN OPTION PRICING WITH DEPENDENT SAMPLE DATA (English)

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published in

Mathematical Finance

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publication date

13 April 2018

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zbMATH Keywords

least-squares regression

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optimal stopping

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statistical learning theory

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Monte Carlo algorithms

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American options

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author

Daniel Z. Zanger

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1111/mafi.12125

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cites work

Neural Network Learning

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Universal approximation bounds for superpositions of a sigmoidal function

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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 Bounded Approximating Sets

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Optimal stopping of Markov processes: Hilbert space theory, approximation algorithms, and an application to pricing high-dimensional financial derivatives

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On the degree of approximation by manifolds of finite pseudo-dimension

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Valuing American Options by Simulation: A Simple Least-Squares Approach

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Efficient agnostic learning of neural networks with bounded fan-in

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PRICING OF HIGH-DIMENSIONAL AMERICAN OPTIONS BY NEURAL NETWORKS

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Polynomial bounds for VC dimension of sigmoidal and general Pfaffian neural networks

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The computational intractability of training sigmoidal neural networks

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A distribution-free theory of nonparametric regression

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A regression-based Monte Carlo method to solve backward stochastic differential equations

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Number of paths versus number of basis functions in American option pricing

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The longstaff-Schwartz algorithm for Lévy models: results on fast and slow convergence

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A dynamic look-ahead Monte Carlo algorithm for pricing Bermudan options

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Monte Carlo algorithms for optimal stopping and statistical learning

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On the mathematical foundations of learning

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An analysis of a least squares regression method for American option pricing

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Pricing Bermudan Options via Multilevel Approximation Methods

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Pricing Bermudan options by nonparametric regression: optimal rates of convergence for lower estimates

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Sphere packing numbers for subsets of the Boolean \(n\)-cube with bounded Vapnik-Chervonenkis dimension

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Identifiers

zbMATH Open document ID

1403.91354

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DOI

10.1111/mafi.12125

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:4635047

@@ Property / cites work @@
+Neural Network Learning
@@ Property / cites work: Neural Network Learning / rank @@
+Normal rank
@@ Property / cites work @@
+Universal approximation bounds for superpositions of a sigmoidal function
+Normal rank
@@ Property / cites work @@
+Quantitative error estimates for a least-squares Monte Carlo algorithm for American option pricing
+Normal rank
@@ Property / cites work @@
+Convergence of a Least‐Squares Monte Carlo Algorithm for Bounded Approximating Sets
+Normal rank
@@ Property / cites work @@
+Optimal stopping of Markov processes: Hilbert space theory, approximation algorithms, and an application to pricing high-dimensional financial derivatives
+Normal rank
@@ Property / cites work @@
+On the degree of approximation by manifolds of finite pseudo-dimension
+Normal rank
@@ Property / cites work @@
+Valuing American Options by Simulation: A Simple Least-Squares Approach
+Normal rank
@@ Property / cites work @@
+Efficient agnostic learning of neural networks with bounded fan-in
+Normal rank
@@ Property / cites work @@
+PRICING OF HIGH-DIMENSIONAL AMERICAN OPTIONS BY NEURAL NETWORKS
+Normal rank
@@ Property / cites work @@
+Polynomial bounds for VC dimension of sigmoidal and general Pfaffian neural networks
+Normal rank
@@ Property / cites work @@
+The computational intractability of training sigmoidal neural networks
+Normal rank
@@ Property / cites work @@
+A distribution-free theory of nonparametric regression
+Normal rank
@@ Property / cites work @@
+A regression-based Monte Carlo method to solve backward stochastic differential equations
+Normal rank
@@ Property / cites work @@
+Number of paths versus number of basis functions in American option pricing
+Normal rank
@@ Property / cites work @@
+The longstaff-Schwartz algorithm for Lévy models: results on fast and slow convergence
+Normal rank
@@ Property / cites work @@
+A dynamic look-ahead Monte Carlo algorithm for pricing Bermudan options
+Normal rank
@@ Property / cites work @@
+Monte Carlo algorithms for optimal stopping and statistical learning
+Normal rank
@@ Property / cites work @@
+On the mathematical foundations of learning
@@ Property / cites work: On the mathematical foundations of learning / rank @@
+Normal rank
@@ Property / cites work @@
+An analysis of a least squares regression method for American option pricing
+Normal rank
@@ Property / cites work @@
+Pricing Bermudan Options via Multilevel Approximation Methods
+Normal rank
@@ Property / cites work @@
+Pricing Bermudan options by nonparametric regression: optimal rates of convergence for lower estimates
+Normal rank
@@ Property / cites work @@
+Sphere packing numbers for subsets of the Boolean \(n\)-cube with bounded Vapnik-Chervonenkis dimension
+Normal rank