An efficient implementation of a least squares Monte Carlo method for valuing American-style options
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Publication:3636738
efficiencyaccelerationleast squares Monte Carlo methodhigh-dimensional American optionsoptimal basis functions
Monte Carlo methods (65C05) Complexity and performance of numerical algorithms (65Y20) Numerical methods (including Monte Carlo methods) (91G60) Discrete-time Markov processes on general state spaces (60J05) Stopping times; optimal stopping problems; gambling theory (60G40) Least squares and related methods for stochastic control systems (93E24)
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- scientific article; zbMATH DE number 1790450
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- 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
- Mersenne twister
- Monte Carlo algorithms for optimal stopping and statistical learning
- Monte Carlo valuation of American options
- On the robustness of least-squares Monte Carlo (LSM) for pricing American derivatives
- Optimal stopping of Markov processes: Hilbert space theory, approximation algorithms, and an application to pricing high-dimensional financial derivatives
- Option pricing: A simplified approach
- Pricing American Options: A Duality Approach
- Pricing American-style securities using simulation
- Quadratic convergence for valuing American options using a penalty method
- Remark on algorithm 659
- Tools for computational finance.
- Valuation of the early-exercise price for options using simulations and nonparametric regression
- Valuing American options by simulation: a simple least-squares approach
Cited in
(14)- Monte Carlo Approximations of American Options that Preserve Monotonicity and Convexity
- On the robustness of least-squares Monte Carlo (LSM) for pricing American derivatives
- On improving the least squares Monte Carlo option valuation method
- The valuation of multidimensional American real options using the LSM simulation method
- Correcting the Bias in Monte Carlo Estimators of American-style Option Values
- Assessing the least squares Monte-Carlo approach to American option valuation
- An efficient accelerating method of conditional Monte-Carlo simulation for two-factor option pricing model
- On the primal-dual algorithm for callable bermudan options
- Implicit American Monte Carlo methods for nonlinear functional of future portfolio value
- An Accelerating Quasi-Monte Carlo Method for Option Pricing Under the Generalized Hyperbolic Lévy Process
- Comparison of least squares Monte Carlo methods with applications to energy real options
- Monte-Carlo methods for the pricing of American options: a semilinear BSDE point of view
- Implementing importance sampling in the least-squares Monte Carlo approach for American options
- Effect of different basis functions on the LSM pricing of American option
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