scientific article; zbMATH DE number 1790450
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Publication:4549520
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- scientific article; zbMATH DE number 5305358
- A NEW MONTE CARLO METHOD FOR AMERICAN OPTIONS
- A STATE‐SPACE PARTITIONING METHOD FOR PRICING HIGH‐DIMENSIONAL AMERICAN‐STYLE OPTIONS
Cited in
(16)- Analysis of the SSAP method for the numerical valuation of high-dimensional multivariate American securities
- Pricing American options by simulation using a stochastic mesh with optimized weights
- Sequential design for optimal stopping problems
- A Monte Carlo simulation on pricing of high dimensional American options based on variance reduction
- Pricing exotic options and American options: a multidimensional asymptotic expansion approach
- An efficient implementation of a least squares Monte Carlo method for valuing American-style options
- Regression-based complexity reduction of the nested Monte Carlo methods
- Pricing American options by exercise rate optimization
- Machine learning for pricing American options in high-dimensional Markovian and non-Markovian models
- Pricing high-dimensional American options by kernel ridge regression
- A finite-dimensional approximation for pricing moving average options
- A STATE‐SPACE PARTITIONING METHOD FOR PRICING HIGH‐DIMENSIONAL AMERICAN‐STYLE OPTIONS
- Parallel pricing algorithms for multi-dimensional Bermudan/American options using Monte Carlo methods
- Neural network-based pricing of high-dimensional Bermudan basket options under stochastic volatility
- Pricing multi-asset American-style options by memory reduction Monte Carlo methods
- Convergence and biases of Monte Carlo estimates of American option prices using a parametric exercise rule
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