Pages that link to "Item:Q4795996"
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The following pages link to Monte Carlo valuation of American options (Q4795996):
Displaying 50 items.
- Max-plus decomposition of supermartingales and convex order. Application to American options and portfolio insurance (Q2482283) (← links)
- Addendum to: ``Multilevel dual approach for pricing American style derivatives'' (Q2516774) (← links)
- GPU acceleration of the stochastic grid bundling method for early-exercise options (Q2804499) (← links)
- American Option Valuation with Particle Filters (Q2917425) (← links)
- Monte Carlo Approximations of American Options that Preserve Monotonicity and Convexity (Q2917427) (← links)
- American Option Sensitivities Estimation via a Generalized Infinitesimal Perturbation Analysis Approach (Q2935304) (← links)
- Multilevel Simulation Based Policy Iteration for Optimal Stopping--Convergence and Complexity (Q2945162) (← links)
- Pricing of Asian-Type and Basket Options via Bounds (Q2967982) (← links)
- Stochastic switching for partially observable dynamics and optimal asset allocation (Q2978077) (← links)
- The dual approach to portfolio evaluation: a comparison of the static, myopic and generalized buy-and-hold strategies (Q2994856) (← links)
- Smooth simultaneous calibration of the LMM to caplets and co-terminal swaptions (Q3005816) (← links)
- An iterative procedure for solving integral equations related to optimal stopping problems (Q3080991) (← links)
- Simple improvement method for upper bound of American option (Q3108374) (← links)
- American Options in the Heston Model with Stochastic Interest Rate and Its Generalizations (Q3176517) (← links)
- Algorithms for Optimal Control of Stochastic Switching Systems (Q3178726) (← links)
- ON THE ERROR IN THE MONTE CARLO PRICING OF SOME FAMILIAR EUROPEAN PATH-DEPENDENT OPTIONS (Q3370591) (← links)
- SINGULAR PERTURBATION TECHNIQUES APPLIED TO MULTIASSET OPTION PRICING (Q3393980) (← links)
- Regression methods in pricing American and Bermudan options using consumption processes (Q3395739) (← links)
- The duality of optimal exercise and domineering claims: a Doob–Meyer decomposition approach to the Snell envelope (Q3429332) (← links)
- Pricing Israeli options: a pathwise approach (Q3429336) (← links)
- Optimal stopping via measure transformation: the Beibel–Lerche approach (Q3429345) (← links)
- A SIMPLE AMERICAN OPTION PRICING METHOD USING THE FAST FOURIER TRANSFORM (Q3498242) (← links)
- Enhanced policy iteration for American options via scenario selection (Q3498561) (← links)
- Exercisability Randomization of the American Option (Q3518307) (← links)
- PRICING OF HIGH-DIMENSIONAL AMERICAN OPTIONS BY NEURAL NETWORKS (Q3576955) (← 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)
- 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)
- Regression-Based Complexity Reduction of the Nested Monte Carlo Methods (Q4579837) (← links)
- Counterparty Credit Exposures for Interest Rate Derivatives using the Stochastic Grid Bundling Method (Q4585673) (← links)
- Discrete Time Approximations of Continuous Time Finite Horizon Stopping Problems (Q4593613) (← links)
- POLYNOMIAL BOUNDS FOR SOLUTIONS TO BOUNDARY VALUE AND OBSTACLE PROBLEMS WITH APPLICATIONS TO FINANCIAL DERIVATIVE PRICING (Q4601190) (← links)
- SMOOTH UPPER BOUNDS FOR THE PRICE FUNCTION OF AMERICAN STYLE OPTIONS (Q4608116) (← links)
- Fast estimation of true bounds on Bermudan option prices under jump-diffusion processes (Q4619493) (← links)
- A New Approach for American Option Pricing: The Dynamic Chebyshev Method (Q4628394) (← links)
- Bounding Bermudan swaptions in a swap-rate market model (Q4646800) (← links)
- Pricing high-dimensional Bermudan options using the stochastic grid method (Q4903543) (← links)
- On Minimax Duality in Optimal Stopping (Q4931852) (← links)
- Pricing American options by exercise rate optimization (Q4957236) (← links)
- A class of finite-dimensional numerically solvable McKean-Vlasov control problems (Q4967867) (← links)
- Machine learning for pricing American options in high-dimensional Markovian and non-Markovian models (Q4991044) (← links)
- Analysing the bias in the primal-dual upper bound method for early exercisable derivatives: bounds, estimation and removal (Q5001149) (← links)
- Solving high-dimensional optimal stopping problems using deep learning (Q5014845) (← links)
- An integration preconditioning method for solving option pricing problems (Q5031225) (← links)
- A Monte Carlo approach to American options pricing including counterparty risk (Q5031705) (← links)
- Variance reduction for risk measures with importance sampling in nested simulation (Q5079359) (← links)
- A reinforcement learning approach to optimal execution (Q5079392) (← links)
- Order Now, Pickup in 30 Minutes: Managing Queues with Static Delivery Guarantees (Q5106351) (← links)
- Mixing LSMC and PDE Methods to Price Bermudan Options (Q5112723) (← links)
