Pages that link to "Item:Q1381139"
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The following pages link to Valuation of the early-exercise price for options using simulations and nonparametric regression (Q1381139):
Displaying 50 items.
- Expected utility and catastrophic risk in a stochastic economy-climate model (Q2280605) (← links)
- Valuing portfolios of interdependent real options using influence diagrams and simulation-and-regression: a multi-stage stochastic integer programming approach (Q2289885) (← links)
- An aspect of optimal regression design for LSMC (Q2293277) (← links)
- Valuation of large variable annuity portfolios under nested simulation: a functional data approach (Q2347065) (← links)
- The difference between LSMC and replicating portfolio in insurance liability modeling (Q2356640) (← links)
- Reference policies for non-myopic sequential network design and timing problems (Q2358056) (← links)
- Inside the Solvency 2 black box: net asset values and solvency capital requirements with a least-squares Monte-Carlo approach (Q2374093) (← links)
- On the primal-dual algorithm for callable bermudan options (Q2393163) (← links)
- Approximation scheme for solutions of backward stochastic differential equations via the representation theorem (Q2469438) (← links)
- Time discretization and Markovian iteration for coupled FBSDEs (Q2476402) (← links)
- A sample-path approach to optimal position liquidation (Q2480246) (← links)
- Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations (Q2485757) (← links)
- A neural network approach to efficient valuation of large portfolios of variable annuities (Q2520445) (← links)
- Monte Carlo methods for pricing financial options (Q2571446) (← links)
- An approximate moving boundary method for American option pricing (Q2629646) (← links)
- Designing higher value roads to preserve species at risk by optimally controlling traffic flow (Q2678614) (← links)
- Foreign exchange options on Heston-CIR model under Lévy process framework (Q2698161) (← links)
- Stability of Regression-Based Monte Carlo Methods for Solving Nonlinear PDEs (Q2802033) (← links)
- Pricing Bermudan options under Merton jump-diffusion asset dynamics (Q2804498) (← links)
- An Introduction to Particle Methods with Financial Applications (Q2917424) (← links)
- American Option Valuation with Particle Filters (Q2917425) (← links)
- Monte Carlo Approximations of American Options that Preserve Monotonicity and Convexity (Q2917427) (← links)
- Optimal Hedging of American Options in Discrete Time (Q2917430) (← links)
- Monte-Carlo Valuation of American Options: Facts and New Algorithms to Improve Existing Methods (Q2917432) (← links)
- American Option Pricing Using Simulation and Regression: Numerical Convergence Results (Q2920953) (← links)
- ESTIMATING RESIDUAL HEDGING RISK WITH LEAST-SQUARES MONTE CARLO (Q2941057) (← links)
- Sequential Design for Optimal Stopping Problems (Q2941479) (← links)
- Multilevel Simulation Based Policy Iteration for Optimal Stopping--Convergence and Complexity (Q2945162) (← links)
- Regression-based algorithms for life insurance contracts with surrender guarantees (Q2994846) (← links)
- The least squares method for option pricing revisited (Q3177165) (← links)
- Algorithms for Optimal Control of Stochastic Switching Systems (Q3178726) (← links)
- Regression methods in pricing American and Bermudan options using consumption processes (Q3395739) (← links)
- Computing the endogenous mortgage rate without iterations (Q3404100) (← links)
- Improved lower and upper bound algorithms for pricing American options by simulation (Q3605244) (← links)
- TRUE UPPER BOUNDS FOR BERMUDAN PRODUCTS VIA NON‐NESTED MONTE CARLO (Q3608735) (← links)
- Pricing Asset Scheduling Flexibility using Optimal Switching (Q3617303) (← links)
- An efficient implementation of a least squares Monte Carlo method for valuing American-style options (Q3636738) (← links)
- Dual Pricing of American Options by Wiener Chaos Expansion (Q4579832) (← links)
- Counterparty Credit Exposures for Interest Rate Derivatives using the Stochastic Grid Bundling Method (Q4585673) (← links)
- Calculation of Exposure Profiles and Sensitivities of Options under the Heston and the Heston Hull-White Models (Q4604870) (← links)
- Kernel Smoothing for Nested Estimation with Application to Portfolio Risk Measurement (Q4604901) (← links)
- EXPLICIT HESTON SOLUTIONS AND STOCHASTIC APPROXIMATION FOR PATH-DEPENDENT OPTION PRICING (Q4608114) (← links)
- SMOOTH UPPER BOUNDS FOR THE PRICE FUNCTION OF AMERICAN STYLE OPTIONS (Q4608116) (← links)
- On the convergence of the quasi-regression method: polynomial chaos and regularity (Q4684863) (← links)
- Nonlinearity Valuation Adjustment (Q4689899) (← links)
- Pricing high-dimensional Bermudan options using the stochastic grid method (Q4903543) (← links)
- Pricing high-dimensional American options by kernel ridge regression (Q4991062) (← links)
- Analysing the bias in the primal-dual upper bound method for early exercisable derivatives: bounds, estimation and removal (Q5001149) (← links)
- Time-consistent and market-consistent actuarial valuation of the participating pension contract (Q5003351) (← links)
- Nested Monte Carlo simulation in financial reporting: a review and a new hybrid approach (Q5014496) (← links)
