Pages that link to "Item:Q5464338"
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The following pages link to A QUANTIZATION TREE METHOD FOR PRICING AND HEDGING MULTIDIMENSIONAL AMERICAN OPTIONS (Q5464338):
Displaying 50 items.
- Tree approximation for discrete time stochastic processes: a process distance approach (Q256651) (← links)
- Numerical simulation of quadratic BSDEs (Q259576) (← links)
- Multi-asset American options and parallel quantization (Q370907) (← links)
- Asymptotics of the maximal radius of an \(L^{r}\)-optimal sequence of quantizers (Q408108) (← links)
- Numerical method for impulse control of piecewise deterministic Markov processes (Q445881) (← links)
- Conditional quantile estimation through optimal quantization (Q464580) (← links)
- A constructive sharp approach to functional quantization of stochastic processes (Q613025) (← links)
- Forest of stochastic meshes: a new method for valuing high-dimensional swing options (Q631202) (← links)
- Optimal quantization applied to sliced inverse regression (Q645618) (← links)
- The stochastic grid bundling method: efficient pricing of Bermudan options and their Greeks (Q668683) (← links)
- Improved error bounds for quantization based numerical schemes for BSDE and nonlinear filtering (Q681989) (← links)
- Valuation of power plants by utility indifference and numerical computation (Q836863) (← links)
- Monte Carlo estimation of a joint density using Malliavin calculus, and application to American options (Q853652) (← links)
- Dynamic generation of scenario trees (Q902085) (← links)
- Partially observed optimal stopping problem for discrete-time Markov processes (Q1680763) (← links)
- An integration by parts type formula for stopping times and its application (Q1707041) (← links)
- Change-point detection for piecewise deterministic Markov processes (Q1716530) (← links)
- Greedy vector quantization (Q1791088) (← links)
- A Longstaff and Schwartz approach to the early election problem (Q1929895) (← links)
- Numerical method for optimal stopping of piecewise deterministic Markov processes (Q1958493) (← links)
- Markov cubature rules for polynomial processes (Q1986009) (← links)
- Solving BSDEs based on novel multi-step schemes and multilevel Monte Carlo (Q2088763) (← links)
- A fully quantization-based scheme for FBSDEs (Q2101958) (← links)
- McKean Feynman-Kac probabilistic representations of non-linear partial differential equations (Q2107414) (← links)
- American options and stochastic interest rates (Q2109007) (← links)
- Properties and generation of representative points of the exponential distribution (Q2122810) (← links)
- Optimal liquidation problem in illiquid markets (Q2242363) (← links)
- Higher-order interpolated lattice schemes for multidimensional option pricing problems (Q2252708) (← links)
- Characterization of probability distribution convergence in Wasserstein distance by \(L^p\)-quantization error function (Q2295030) (← links)
- New weak error bounds and expansions for optimal quantization (Q2297129) (← links)
- A monotone scheme for high-dimensional fully nonlinear PDEs (Q2346082) (← links)
- A computationally efficient state-space partitioning approach to pricing high-dimensional American options via dimension reduction (Q2356102) (← links)
- Optimal stopping for partially observed piecewise-deterministic Markov processes (Q2447709) (← links)
- Partial functional quantization and generalized bridges (Q2448710) (← links)
- A forward-backward stochastic algorithm for quasi-linear PDEs (Q2494576) (← links)
- A multi-step algorithm for BSDEs based on a predictor-corrector scheme and least-squares Monte Carlo (Q2684920) (← links)
- WHEN ARE SWING OPTIONS BANG-BANG? (Q2786344) (← links)
- Linear regression MDP scheme for discrete backward stochastic differential equations under general conditions (Q2792367) (← links)
- A Backward Dual Representation for the Quantile Hedging of Bermudan Options (Q2808185) (← links)
- From Empirical Observations to Tree Models for Stochastic Optimization: Convergence Properties (Q2817839) (← links)
- Pointwise Convergence of the Lloyd I Algorithm in Higher Dimension (Q2820188) (← links)
- Numerical Methods for the Exit Time of a Piecewise-Deterministic Markov Process (Q2879913) (← links)
- Monte Carlo Approximations of American Options that Preserve Monotonicity and Convexity (Q2917427) (← links)
- Optimal Delaunay and Voronoi Quantization Schemes for Pricing American Style Options (Q2917431) (← links)
- Monte-Carlo Valuation of American Options: Facts and New Algorithms to Improve Existing Methods (Q2917432) (← links)
- Swing Option Pricing by Optimal Exercise Boundary Estimation (Q2917444) (← links)
- Sequential Design for Optimal Stopping Problems (Q2941479) (← links)
- How to speed up the quantization tree algorithm with an application to swing options (Q2994841) (← links)
- Optimal Quantization for the Pricing of Swing Options (Q3395726) (← links)
- Regression methods in pricing American and Bermudan options using consumption processes (Q3395739) (← links)
