Pages that link to "Item:Q3608735"

The following pages link to TRUE UPPER BOUNDS FOR BERMUDAN PRODUCTS VIA NON‐NESTED MONTE CARLO (Q3608735):

Displaying 29 items.

• Optimal search for parameters in Monte Carlo simulation for derivative pricing (Q321025) (← links)
• Solving optimal stopping problems via empirical dual optimization (Q373842) (← links)
• Multilevel dual approach for pricing American style derivatives (Q377450) (← links)
• Dual pricing of multi-exercise options under volume constraints (Q483695) (← links)
• The longstaff-Schwartz algorithm for Lévy models: results on fast and slow convergence (Q535203) (← links)
• Sensitivities for Bermudan options by regression methods (Q604677) (← links)
• An algorithmic approach to optimal asset liquidation problems (Q1627810) (← links)
• A pure martingale dual for multiple stopping (Q1761446) (← links)
• Practical policy iteration: generic methods for obtaining rapid and tight bounds for Bermudan exotic derivatives using Monte Carlo simulation (Q1994265) (← links)
• Effective sub-simulation-free upper bounds for the Monte Carlo pricing of callable derivatives and various improvements to existing methodologies (Q1994388) (← links)
• A deep learning approach for computations of exposure profiles for high-dimensional Bermudan options (Q2243318) (← links)
• On the primal-dual algorithm for callable bermudan options (Q2393163) (← links)
• Monte-Carlo Valuation of American Options: Facts and New Algorithms to Improve Existing Methods (Q2917432) (← 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)
• 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)
• On Minimax Duality in Optimal Stopping (Q4931852) (← links)
• Analysing the bias in the primal-dual upper bound method for early exercisable derivatives: bounds, estimation and removal (Q5001149) (← links)
• Solving high-dimensional optimal stopping problems using deep learning (Q5014845) (← links)
• Primal–dual quasi-Monte Carlo simulation with dimension reduction for pricing American options (Q5139263) (← 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)
• A PRIMAL–DUAL ALGORITHM FOR BSDES (Q5283406) (← links)
• Importance Sampling for Backward SDEs (Q5305278) (← links)
• Deep optimal stopping (Q5381128) (← links)
• Primal–dual linear Monte Carlo algorithm for multiple stopping—an application to flexible caps (Q5397436) (← links)
• Primal-Dual Regression Approach for Markov Decision Processes with General State and Action Spaces (Q6198082) (← links)