On improving the least squares Monte Carlo option valuation method
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- Assessing the least squares Monte-Carlo approach to American option valuation
- Refining the least squares Monte Carlo method by imposing structure
- An improved least squares Monte Carlo valuation method based on heteroscedasticity
- An efficient implementation of a least squares Monte Carlo method for valuing American-style options
- The least squares method for option pricing revisited
Cites work
- A Convenient Method for Generating Normal Variables
- A Note on the Generation of Random Normal Deviates
- Algorithm 659
- An analysis of a least squares regression method for American option pricing
- Assessing the least squares Monte-Carlo approach to American option valuation
- Discrépance de suites associées à un système de numération (en dimension s)
- Estimation of multidimensional integrals: is Monte Carlo the best method?
- scientific article; zbMATH DE number 236854 (Why is no real title available?)
- scientific article; zbMATH DE number 2232710 (Why is no real title available?)
- Implementation and tests of low-discrepancy sequences
- Low-discrepancy and low-dispersion sequences
- Monte Carlo methods for security pricing
- Number of paths versus number of basis functions in American option pricing
- On the distribution of points in a cube and the approximate evaluation of integrals
- On the efficiency of certain quasi-random sequences of points in evaluating multi-dimensional integrals
- On the robustness of least-squares Monte Carlo (LSM) for pricing American derivatives
- Option pricing: A simplified approach
- Pricing American-style securities using simulation
- Quasi-Monte Carlo integration
- Quasi-Monte Carlo Methods in Numerical Finance
- Smoothness and dimension reduction in quasi-Monte Carlo methods
- The Brownian bridge does not offer a consistent advantage in quasi-Monte Carlo integration
- The pricing of options and corporate liabilities
- Valuing American options by simulation: a simple least-squares approach
Cited in
(22)- Using forward Monte-Carlo simulation for the valuation of American barrier options
- An improved least squares Monte Carlo valuation method based on heteroscedasticity
- Relationship between least squares Monte Carlo and approximate linear programming
- Comparison of least squares Monte Carlo methods with applications to energy real options
- Fair dynamic valuation of insurance liabilities via convex hedging
- Generic improvements to least squares Monte Carlo methods with applications to optimal stopping problems
- Fair dynamic valuation of insurance liabilities: merging actuarial judgement with market- and time-consistency
- Valuing portfolios of interdependent real options using influence diagrams and simulation-and-regression: a multi-stage stochastic integer programming approach
- Fast and efficient nested simulation for large variable annuity portfolios: a surrogate modeling approach
- Inside the Solvency 2 black box: net asset values and solvency capital requirements with a least-squares Monte-Carlo approach
- Refining the least squares Monte Carlo method by imposing structure
- scientific article; zbMATH DE number 6039605 (Why is no real title available?)
- The least squares method for option pricing revisited
- An efficient implementation of a least squares Monte Carlo method for valuing American-style options
- A comparison between different numerical schemes for the valuation of unit-linked contracts embedding a surrender option
- Valuation of R\&D investment opportunities using the least-squares Monte Carlo method
- Enhancing least squares Monte Carlo with diffusion bridges: an application to energy facilities
- Fair dynamic valuation of insurance liabilities: a loss averse convex hedging approach
- Discrete dividends and the FTSE-100 index options valuation
- Coping with longevity via hedging: fair dynamic valuation of variable annuities
- Efficient parallel Monte-Carlo techniques for pricing American options including counterparty credit risk
- Assessing the least squares Monte-Carlo approach to American option valuation
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