Pages that link to "Item:Q1769425"

The following pages link to Number of paths versus number of basis functions in American option pricing (Q1769425):

Displaying 43 items.

• Quantitative error estimates for a least-squares Monte Carlo algorithm for American option pricing (Q354190) (← links)
• Pricing Bermudan options by nonparametric regression: optimal rates of convergence for lower estimates (Q484205) (← links)
• The longstaff-Schwartz algorithm for Lévy models: results on fast and slow convergence (Q535203) (← links)
• Monte Carlo algorithms for optimal stopping and statistical learning (Q558680) (← links)
• Valuation of European continuous-installment options (Q660913) (← links)
• On regression-based stopping times (Q708889) (← links)
• An irregular grid approach for pricing high-dimensional American options (Q952083) (← links)
• On improving the least squares Monte Carlo option valuation method (Q1025618) (← links)
• An improved least squares Monte Carlo valuation method based on heteroscedasticity (Q1694951) (← links)
• On the stability the least squares Monte Carlo (Q1940435) (← links)
• Cross-hedging minimum return guarantees: basis and liquidity risks (Q1994419) (← links)
• Generic improvements to least squares Monte Carlo methods with applications to optimal stopping problems (Q2076899) (← links)
• Valuing portfolios of interdependent real options under exogenous and endogenous uncertainties (Q2183319) (← links)
• Comparison of low discrepancy mesh methods for pricing Bermudan options under a Lévy process (Q2229844) (← links)
• Neural network regression for Bermudan option pricing (Q2239248) (← links)
• Pricing and exercising American options: an asymptotic expansion approach (Q2338522) (← 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)
• The valuation of multidimensional American real options using the LSM simulation method (Q2384589) (← links)
• Pricing and risk of swing contracts in natural gas markets (Q2418428) (← links)
• A dynamic look-ahead Monte Carlo algorithm for pricing Bermudan options (Q2467599) (← links)
• Valuation of American continuous-installment options (Q2575454) (← links)
• Monte-Carlo Valuation of American Options: Facts and New Algorithms to Improve Existing Methods (Q2917432) (← links)
• Least-Squares Monte Carlo for Backward SDEs (Q2917434) (← links)
• American Option Pricing Using Simulation and Regression: Numerical Convergence Results (Q2920953) (← links)
• American Option Sensitivities Estimation via a Generalized Infinitesimal Perturbation Analysis Approach (Q2935304) (← links)
• Sequential Design for Optimal Stopping Problems (Q2941479) (← links)
• General Error Estimates for the Longstaff–Schwartz Least-Squares Monte Carlo Algorithm (Q3387908) (← links)
• PRICING OF HIGH-DIMENSIONAL AMERICAN OPTIONS BY NEURAL NETWORKS (Q3576955) (← links)
• Necessary and sufficient conditions for the pointwise convergence of nearest neighbor regression function estimates (Q3942221) (← links)
• Counterparty Credit Exposures for Interest Rate Derivatives using the Stochastic Grid Bundling Method (Q4585673) (← links)
• CONVERGENCE OF A LEAST‐SQUARES MONTE CARLO ALGORITHM FOR AMERICAN OPTION PRICING WITH DEPENDENT SAMPLE DATA (Q4635047) (← links)
• On the convergence of the quasi-regression method: polynomial chaos and regularity (Q4684863) (← links)
• Time-consistent and market-consistent actuarial valuation of the participating pension contract (Q5003351) (← links)
• JDOI variance reduction method and the pricing of American-style options (Q5079357) (← links)
• Mixing LSMC and PDE Methods to Price Bermudan Options (Q5112723) (← links)
• AMERICAN OPTION PRICING WITH REGRESSION: CONVERGENCE ANALYSIS (Q5210915) (← links)
• Pricing bounds and bang-bang analysis of the Polaris variable annuities (Q5215446) (← 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)
• Pricing Bermudan Options via Multilevel Approximation Methods (Q5258453) (← links)
• Unbiased optimal stopping via the MUSE (Q6184922) (← links)
• Primal-Dual Regression Approach for Markov Decision Processes with General State and Action Spaces (Q6198082) (← links)