Pricing American Options: A Duality Approach
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Duality theory (optimization) (49N15) Stopping times; optimal stopping problems; gambling theory (60G40) Martingales with continuous parameter (60G44) Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Optimal stochastic control (93E20)
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(only showing first 100 items - show all)- The pricing of the American option
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- On the methods of pricing American options: case study
- A pure martingale dual for multiple stopping
- A new class of dual upper bounds for early exercisable derivatives encompassing both the additive and multiplicative bounds
- Numerical solutions to dynamic portfolio problems with upper bounds
- Approximate option pricing
- Dual representation of superhedging costs in illiquid markets
- Linear-quadratic control and information relaxations
- Practical policy iteration: generic methods for obtaining rapid and tight bounds for Bermudan exotic derivatives using Monte Carlo simulation
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- Generic improvements to least squares Monte Carlo methods with applications to optimal stopping problems
- Are American options European after all?
- Pricing the American options: a closed-form, simple formula
- Options as silver bullets: valuation of term loans, inventory management, emissions trading and insurance risk mitigation using option theory
- Optimal procurement strategies for contractual assembly systems with fluctuating procurement price
- Primal-dual active set method for pricing American better-of option on two assets
- The correction of multiscale stochastic volatility to American put option: an asymptotic approximation and finite difference approach
- Neural network regression for Bermudan option pricing
- Monte Carlo methods via a dual approach for some discrete time stochastic control problems
- Recursive lower and dual upper bounds for Bermudan-style options
- Pricing and exercising American options: an asymptotic expansion approach
- Martingales and upper bounds for American-style options
- A computationally efficient state-space partitioning approach to pricing high-dimensional American options via dimension reduction
- On the primal-dual algorithm for callable bermudan options
- Stochastic control with rough paths
- Pricing and risk of swing contracts in natural gas markets
- Optimal stopping via pathwise dual empirical maximisation
- Additive and multiplicative duals for American option pricing
- A dynamic look-ahead Monte Carlo algorithm for pricing Bermudan options
- Addendum to: ``Multilevel dual approach for pricing American style derivatives
- Monte Carlo methods for pricing financial options
- An iterative two-step algorithm for American option pricing
- GPU acceleration of the stochastic grid bundling method for early-exercise options
- Bayesian analysis of equity-linked savings contracts with American-style options
- Monte Carlo Approximations of American Options that Preserve Monotonicity and Convexity
- Monte-Carlo valuation of American options: facts and new algorithms to improve existing methods
- American Option Sensitivities Estimation via a Generalized Infinitesimal Perturbation Analysis Approach
- Multilevel simulation based policy iteration for optimal stopping -- convergence and complexity
- Stochastic switching for partially observable dynamics and optimal asset allocation
- The dual approach to portfolio evaluation: a comparison of the static, myopic and generalized buy-and-hold strategies
- Fuzzy pricing of american options on stocks with known dividends and its algorithm
- scientific article; zbMATH DE number 5864920 (Why is no real title available?)
- An iterative procedure for solving integral equations related to optimal stopping problems
- Simple improvement method for upper bound of American option
- Pricing American-style derivatives with European call options
- Algorithms for optimal control of stochastic switching systems
- SINGULAR PERTURBATION TECHNIQUES APPLIED TO MULTIASSET OPTION PRICING
- Regression methods in pricing American and Bermudan options using consumption processes
- The duality of optimal exercise and domineering claims: a Doob–Meyer decomposition approach to the Snell envelope
- Optimal stopping via measure transformation: the Beibel–Lerche approach
- Enhanced policy iteration for American options via scenario selection
- Pricing of high-dimensional American options by neural networks
- Improved lower and upper bound algorithms for pricing American options by simulation
- TRUE UPPER BOUNDS FOR BERMUDAN PRODUCTS VIA NON‐NESTED MONTE CARLO
- Pricing Asset Scheduling Flexibility using Optimal Switching
- An efficient implementation of a least squares Monte Carlo method for valuing American-style options
- Variance reduction techniques for pricing American options using function approximations
- Solving optimal stopping problems via empirical dual optimization
- Multilevel dual approach for pricing American style derivatives
- A unified approach to multiple stopping and duality
- Dual pricing of American options by Wiener chaos expansion
- Regression-based complexity reduction of the nested Monte Carlo methods
- Counterparty credit exposures for interest rate derivatives using the stochastic grid bundling method
- Discrete time approximations of continuous time finite horizon stopping problems
- POLYNOMIAL BOUNDS FOR SOLUTIONS TO BOUNDARY VALUE AND OBSTACLE PROBLEMS WITH APPLICATIONS TO FINANCIAL DERIVATIVE PRICING
- Smooth upper bounds for the price function of American style options
- Fast estimation of true bounds on Bermudan option prices under jump-diffusion processes
- Bounding Bermudan swaptions in a swap-rate market model
- Monte Carlo valuation of American options
- Dual pricing of multi-exercise options under volume constraints
- Pricing high-dimensional Bermudan options using the stochastic grid method
- On minimax duality in optimal stopping
- Machine learning for pricing American options in high-dimensional Markovian and non-Markovian models
- Analysing the bias in the primal-dual upper bound method for early exercisable derivatives: bounds, estimation and removal
- A finite time analysis of temporal difference learning with linear function approximation
- Deep neural network framework based on backward stochastic differential equations for pricing and hedging American options in high dimensions
- Solving high-dimensional optimal stopping problems using deep learning
- A Monte Carlo approach to American options pricing including counterparty risk
- Model uncertainty and the pricing of American options
- Laplace bounds approximation for American options
- Variance reduction for risk measures with importance sampling in nested simulation
- Pricing renewable identification numbers under uncertainty
- A reinforcement learning approach to optimal execution
- Order now, pickup in 30 minutes: managing queues with static delivery guarantees
- Mixing LSMC and PDE methods to price Bermudan options
- Approximations to stochastic dynamic programs via information relaxation duality
- Static routing in stochastic scheduling: performance guarantees and asymptotic optimality
- Primal-dual quasi-Monte Carlo simulation with dimension reduction for pricing American options
- Optimistic Monte Carlo tree search with sampled information relaxation dual bounds
- An efficient numerical method for the valuation of American better-of options based on the front-fixing transform and the far field truncation
- Randomized Optimal Stopping Algorithms and Their Convergence Analysis
- American option pricing with regression: convergence analysis
- Pathwise dynamic programming
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