Search results
From MaRDI portal
- application to Bermudan options 2018-12-10 Paper A comparison principle for PDEs arising in approximate hedging problems: application to Bermudan options 2018-12-10...10 bytes (16 words) - 17:38, 24 September 2023
- interpolation for parametric option pricing 2018-07-16 Paper Magic Points in Finance: Empirical Integration for Parametric Option Pricing 2018-03-12 Paper...10 bytes (18 words) - 06:24, 13 December 2023
- note on the soundness of Bermudan option pricing via cubature 2005-03-12 Paper Recent approaches to multidimensional Bermudan option pricing and the extrapolation...10 bytes (18 words) - 11:21, 5 September 2024
- Multi-period static hedging of European options 2023-10-02 Paper BENCHOP – SLV: the BENCHmarking project in Option Pricing – Stochastic and Local Volatility...10 bytes (16 words) - 05:49, 7 October 2023
- loss functions for solving PDEs with Neural Networks 2020-02-14 Paper Bermudan option valuation under state-dependent models 2018-11-19 Paper Efficient Computation...10 bytes (16 words) - 19:20, 24 September 2023
- time step Monte Carlo simulation of the SABR model 2018-11-19 Paper Bermudan option valuation under state-dependent models 2018-11-19 Paper Counterparty...10 bytes (18 words) - 00:02, 10 December 2023
- Date of Publication Type On the primal-dual algorithm for callable bermudan options 2013-08-07 Paper Parameter identification in financial market models...10 bytes (18 words) - 21:55, 11 December 2023
- American Put Option: A Note on Richardson Extrapolation and the Early Exercise Premium 2012-02-19 Paper The cross-section of average delta-hedge option returns...10 bytes (16 words) - 21:08, 22 September 2023
- semiconductor industry 2022-11-08 Paper Neural network regression for Bermudan option pricing 2021-11-03 Paper Rare event simulation for electronic circuit...10 bytes (16 words) - 05:59, 7 October 2023
- COUNTERPARTY CREDIT EXPOSURE FOR MULTI-ASSET BERMUDAN OPTIONS 2015-04-15 Paper Double-sided Parisian option pricing 2010-04-22 Paper...10 bytes (20 words) - 17:31, 6 October 2023
- discrepancy mesh methods for pricing Bermudan options under a Lévy process 2021-02-18 Paper Dimension reduction for pricing options under multidimensional Lévy...10 bytes (16 words) - 16:22, 6 October 2023
- HIGH-DIMENSIONAL AMERICAN OPTIONS BY NEURAL NETWORKS 2010-08-03 Paper A dynamic look-ahead Monte Carlo algorithm for pricing Bermudan options 2008-01-28 Paper https://portal...10 bytes (16 words) - 10:26, 25 September 2023
- Publication Type Pricing Bermudan Options Using Regression Trees/Random Forests 2023-11-23 Paper Automatic control variates for option pricing using neural...10 bytes (22 words) - 01:12, 25 September 2023
- pricing of options 2008-01-14 Paper Background risk and the demand for state-contingent claims 2004-03-11 Paper The pricing of Bermudan-style options on correlated...10 bytes (18 words) - 04:18, 12 December 2023
- Publication Date of Publication Type Binomial tree method for option pricing: discrete cosine transform approach 2022-05-20 Paper Computation of Greeks...10 bytes (16 words) - 10:51, 6 October 2023
- Characteristic Functions and Financial Applications 2014-01-23 Paper Pricing Bermudan Options in Lévy Process Models 2014-01-23 Paper Subspace Accelerated Matrix...10 bytes (16 words) - 14:35, 28 January 2024
- Optimization and European Option Pricing Under Proportional Transaction Costs 2016-05-13 Paper American and Bermudan options in currency markets with proportional...10 bytes (16 words) - 15:57, 6 October 2023
- Numerical valuation of Bermudan basket options via partial differential equations 2022-02-18 Paper Numerical valuation of American basket options via partial differential...10 bytes (16 words) - 23:08, 27 December 2023
- FOR PRICING DISCRETE TIMER OPTIONS UNDER STOCHASTIC VOLATILITY MODELS 2016-01-08 Paper Pricing Barrier and Bermudan Style Options Under Time-Changed Lévy...10 bytes (16 words) - 10:00, 25 September 2023
- Post-Widder inversion formula with application to statistics 2017-08-03 Paper Option Pricing in Affine Generalized Merton Models 2017-07-31 Paper SDE Based Regression...10 bytes (20 words) - 02:14, 10 December 2023
