Generic improvements to least squares Monte Carlo methods with applications to optimal stopping problems
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Publication:2076899
DOI10.1016/j.ejor.2021.08.016zbMath1490.91246OpenAlexW3194439211MaRDI QIDQ2076899
Publication date: 22 February 2022
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.ejor.2021.08.016
Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Dynamic programming (90C39) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)
Related Items (3)
Valuation of general GMWB annuities in a low interest rate environment ⋮ Valuing variable annuities with path-dependent surrender guarantees under regime-switching Lévy models ⋮ Valuation of variable annuities with guaranteed minimum maturity benefits and periodic fees
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