Pages that link to "Item:Q3637422"
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The following pages link to Pricing American Options: A Duality Approach (Q3637422):
Displayed 50 items.
- Simple improvement method for upper bound of American option (Q3108374) (← links)
- Algorithms for Optimal Control of Stochastic Switching Systems (Q3178726) (← 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)
- Optimal stopping via measure transformation: the Beibel–Lerche approach (Q3429345) (← links)
- Enhanced policy iteration for American options via scenario selection (Q3498561) (← 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)
- 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)
- 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)
- Bounding Bermudan swaptions in a swap-rate market model (Q4646800) (← links)
- Monte Carlo valuation of American options (Q4795996) (← links)
- Pricing high-dimensional Bermudan options using the stochastic grid method (Q4903543) (← links)
- On Minimax Duality in Optimal Stopping (Q4931852) (← 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)
- A Finite Time Analysis of Temporal Difference Learning with Linear Function Approximation (Q5003727) (← links)
- Deep neural network framework based on backward stochastic differential equations for pricing and hedging American options in high dimensions (Q5014169) (← links)
- Solving high-dimensional optimal stopping problems using deep learning (Q5014845) (← links)
- A Monte Carlo approach to American options pricing including counterparty risk (Q5031705) (← links)
- LAPLACE BOUNDS APPROXIMATION FOR AMERICAN OPTIONS (Q5051184) (← links)
- Variance reduction for risk measures with importance sampling in nested simulation (Q5079359) (← links)
- Pricing renewable identification numbers under uncertainty (Q5079363) (← 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)
- Approximations to Stochastic Dynamic Programs via Information Relaxation Duality (Q5126622) (← links)
- Static Routing in Stochastic Scheduling: Performance Guarantees and Asymptotic Optimality (Q5131543) (← links)
- Primal–dual quasi-Monte Carlo simulation with dimension reduction for pricing American options (Q5139263) (← links)
- Optimistic Monte Carlo Tree Search with Sampled Information Relaxation Dual Bounds (Q5144789) (← links)
- An Efficient Numerical Method for the Valuation of American Better-of Options Based on the Front-Fixing Transform and the Far Field Truncation (Q5156976) (← links)
- Randomized Optimal Stopping Algorithms and Their Convergence Analysis (Q5162847) (← links)
- AMERICAN OPTION PRICING WITH REGRESSION: CONVERGENCE ANALYSIS (Q5210915) (← links)
- Pathwise Dynamic Programming (Q5219679) (← links)
- Optimal Stopping Under Uncertainty in Drift and Jump Intensity (Q5219694) (← links)
- On the Compensator in the Doob--Meyer Decomposition of the Snell Envelope (Q5232208) (← links)
- Implied stopping rules for American basket options from Markovian projection (Q5234298) (← links)
- DUAL REPRESENTATIONS FOR GENERAL MULTIPLE STOPPING PROBLEMS (Q5247424) (← links)
- A PRIMAL–DUAL ALGORITHM FOR BSDES (Q5283406) (← links)
- A Simple Derivation of and Improvements to Jamshidian's and Rogers' Upper Bound Methods for Bermudan Options (Q5310693) (← links)
- First Order BSPDEs in Higher Dimension for Optimal Control Problems (Q5347542) (← links)