Pages that link to "Item:Q668683"

The following pages link to The stochastic grid bundling method: efficient pricing of Bermudan options and their Greeks (Q668683):

Displaying 12 items.

• On pre-commitment aspects of a time-consistent strategy for a mean-variance investor (Q1656373) (← links)
• Multi-period mean-variance portfolio optimization based on Monte-Carlo simulation (Q1656758) (← links)
• An SGBM-XVA demonstrator: a scalable Python tool for pricing XVA (Q1980957) (← links)
• Explainable neural network for pricing and universal static hedging of contingent claims (Q2060236) (← links)
• Polynomial affine approach to HARA utility maximization with applications to OrnsteinUhlenbeck \(4/2\) models. (Q2073105) (← links)
• Quasi-Monte Carlo simulation for American option sensitivities (Q2146323) (← links)
• Bermudan options pricing formulas in uncertain financial markets (Q2169605) (← links)
• Computing credit valuation adjustment solving coupled PIDEs in the Bates model (Q2221460) (← links)
• ``Regression anytime'' with brute-force SVD truncation (Q2240846) (← links)
• A deep learning approach for computations of exposure profiles for high-dimensional Bermudan options (Q2243318) (← links)
• Deep learning for CVA computations of large portfolios of financial derivatives (Q2244169) (← links)
• A general continuous time Markov chain approximation for multi-asset option pricing with systems of correlated diffusions (Q2656684) (← links)