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.
- Solving optimal stopping problems via empirical dual optimization (Q373842) (← links)
- Multilevel dual approach for pricing American style derivatives (Q377450) (← links)
- A unified approach to multiple stopping and duality (Q453044) (← links)
- Dual pricing of multi-exercise options under volume constraints (Q483695) (← links)
- Model uncertainty and the pricing of American options (Q503400) (← links)
- Sensitivities for Bermudan options by regression methods (Q604677) (← links)
- Forest of stochastic meshes: a new method for valuing high-dimensional swing options (Q631202) (← links)
- The stochastic grid bundling method: efficient pricing of Bermudan options and their Greeks (Q668683) (← links)
- Introduction to convex optimization in financial markets (Q715237) (← links)
- Multilevel Monte Carlo methods and lower-upper bounds in initial margin computations (Q777908) (← links)
- A new learning algorithm for optimal stopping (Q839001) (← links)
- Convergence and biases of Monte Carlo estimates of American option prices using a parametric exercise rule (Q951396) (← links)
- An irregular grid approach for pricing high-dimensional American options (Q952083) (← links)
- Numerical methods for Lévy processes (Q964687) (← links)
- Pricing bounds for volatility derivatives via duality and least squares Monte Carlo (Q1626511) (← links)
- An algorithmic approach to optimal asset liquidation problems (Q1627810) (← links)
- Valuation of American strangles through an optimized lower-upper bound approach (Q1655917) (← links)
- The value of foresight (Q1679467) (← links)
- On the methods of pricing American options: case study (Q1703539) (← links)
- A pure martingale dual for multiple stopping (Q1761446) (← links)
- A new class of dual upper bounds for early exercisable derivatives encompassing both the additive and multiplicative bounds (Q1785438) (← links)
- Numerical solutions to dynamic portfolio problems with upper bounds (Q1789606) (← links)
- Dual representation of superhedging costs in illiquid markets (Q1938969) (← links)
- Linear-quadratic control and information relaxations (Q1939706) (← 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)
- DGM: a deep learning algorithm for solving partial differential equations (Q2002333) (← links)
- Explainable neural network for pricing and universal static hedging of contingent claims (Q2060236) (← links)
- Generic improvements to least squares Monte Carlo methods with applications to optimal stopping problems (Q2076899) (← links)
- Are American options European after all? (Q2134285) (← links)
- Options as silver bullets: valuation of term loans, inventory management, emissions trading and insurance risk mitigation using option theory (Q2171344) (← links)
- Optimal procurement strategies for contractual assembly systems with fluctuating procurement price (Q2196110) (← links)
- The correction of multiscale stochastic volatility to American put option: an asymptotic approximation and finite difference approach (Q2236410) (← links)
- Neural network regression for Bermudan option pricing (Q2239248) (← links)
- Monte Carlo methods via a dual approach for some discrete time stochastic control problems (Q2264108) (← links)
- Recursive lower and dual upper bounds for Bermudan-style options (Q2273928) (← links)
- Pricing and exercising American options: an asymptotic expansion approach (Q2338522) (← links)
- A computationally efficient state-space partitioning approach to pricing high-dimensional American options via dimension reduction (Q2356102) (← links)
- On the primal-dual algorithm for callable bermudan options (Q2393163) (← links)
- Stochastic control with rough paths (Q2400494) (← links)
- Pricing and risk of swing contracts in natural gas markets (Q2418428) (← links)
- Optimal stopping via pathwise dual empirical maximisation (Q2422357) (← links)
- Additive and multiplicative duals for American option pricing (Q2463707) (← links)
- A dynamic look-ahead Monte Carlo algorithm for pricing Bermudan options (Q2467599) (← links)
- Addendum to: ``Multilevel dual approach for pricing American style derivatives'' (Q2516774) (← links)
- Monte Carlo methods for pricing financial options (Q2571446) (← links)
- GPU acceleration of the stochastic grid bundling method for early-exercise options (Q2804499) (← links)
- Bayesian analysis of equity-linked savings contracts with American-style options (Q2879032) (← links)
- Monte Carlo Approximations of American Options that Preserve Monotonicity and Convexity (Q2917427) (← links)
- Monte-Carlo Valuation of American Options: Facts and New Algorithms to Improve Existing Methods (Q2917432) (← links)