A QUANTIZATION TREE METHOD FOR PRICING AND HEDGING MULTIDIMENSIONAL AMERICAN OPTIONS
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Cites work
- A space quantization method for numerical integration
- An analysis of a least squares regression method for American option pricing
- Applications of Malliavin calculus to Monte Carlo methods in finance
- Brownian optimal stopping and random walks
- Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations
- Error analysis of the optimal quantization algorithm for obstacle problems.
- Exponential rate of convergence for Lloyd's method I
- First-Order Schemes in the Numerical Quantization Method
- Foundations of quantization for probability distributions
- scientific article; zbMATH DE number 3751685 (Why is no real title available?)
- scientific article; zbMATH DE number 48952 (Why is no real title available?)
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- Limit theorems for random normalized distortion
- Multidimensional asymptotic quantization theory with<tex>r</tex>th power distortion measures
- Optimal stopping of Markov processes: Hilbert space theory, approximation algorithms, and an application to pricing high-dimensional financial derivatives
- Parabolic ADI Methods for Pricing American Options on Two Stocks
- Pricing American-style securities using simulation
- Reflected solutions of backward SDE's, and related obstacle problems for PDE's
- Residual risks and hedging strategies in Markovian markets
- Valuing American options by simulation: a simple least-squares approach
- Variance Reduction Methods for Simulation of Densities on Wiener Space
Cited in
(86)- A quantization algorithm for solving multidimensional discrete-time optimal stopping problems
- Partially observed optimal stopping problem for discrete-time Markov processes
- An integration by parts type formula for stopping times and its application
- Change-point detection for piecewise deterministic Markov processes
- Greedy vector quantization
- A Longstaff and Schwartz approach to the early election problem
- Numerical method for optimal stopping of piecewise deterministic Markov processes
- Markov cubature rules for polynomial processes
- Solving BSDEs based on novel multi-step schemes and multilevel Monte Carlo
- A fully quantization-based scheme for FBSDEs
- McKean Feynman-Kac probabilistic representations of non-linear partial differential equations
- American options and stochastic interest rates
- Properties and generation of representative points of the exponential distribution
- Optimal liquidation problem in illiquid markets
- Higher-order interpolated lattice schemes for multidimensional option pricing problems
- Characterization of probability distribution convergence in Wasserstein distance by \(L^p\)-quantization error function
- New weak error bounds and expansions for optimal quantization
- A monotone scheme for high-dimensional fully nonlinear PDEs
- A computationally efficient state-space partitioning approach to pricing high-dimensional American options via dimension reduction
- Optimal stopping for partially observed piecewise-deterministic Markov processes
- Partial functional quantization and generalized bridges
- A forward-backward stochastic algorithm for quasi-linear PDEs
- Tree approximation for discrete time stochastic processes: a process distance approach
- Error analysis of the optimal quantization algorithm for obstacle problems.
- Numerical simulation of quadratic BSDEs
- A multi-step algorithm for BSDEs based on a predictor-corrector scheme and least-squares Monte Carlo
- When are swing options bang-bang?
- Linear regression MDP scheme for discrete backward stochastic differential equations under general conditions
- A backward dual representation for the quantile hedging of Bermudan options
- From empirical observations to tree models for stochastic optimization: convergence properties
- Pointwise convergence of the Lloyd I algorithm in higher dimension
- Numerical methods for the exit time of a piecewise-deterministic Markov process
- Monte Carlo Approximations of American Options that Preserve Monotonicity and Convexity
- Optimal Delaunay and Voronoi quantization schemes for pricing American style options
- Monte-Carlo valuation of American options: facts and new algorithms to improve existing methods
- Swing Option Pricing by Optimal Exercise Boundary Estimation
- Sequential design for optimal stopping problems
- How to speed up the quantization tree algorithm with an application to swing options
- Optimal Quantization for the Pricing of Swing Options
- Regression methods in pricing American and Bermudan options using consumption processes
- Application of kernel-based stochastic gradient algorithms to option pricing
- Pricing Asset Scheduling Flexibility using Optimal Switching
- A Lattice‐Based Method for Pricing Electricity Derivatives Under the Threshold Model
- FINANCIAL HEDGING OF OPERATIONAL FLEXIBILITY
- Multi-asset American options and parallel quantization
- Asymptotics of the maximal radius of an \(L^{r}\)-optimal sequence of quantizers
- Optimal quadratic quantization for numerics: the Gaussian case
- Numerical method for impulse control of piecewise deterministic Markov processes
- Approximation of the Snell Envelope and American Options Prices in dimension one
- American-style options in jump-diffusion models: estimation and evaluation
- Pricing via recursive quantization in stochastic volatility models
- Conditional quantile estimation through optimal quantization
- Recursive marginal quantization of the Euler scheme of a diffusion process
- QUASIRANDOM TREE METHOD FOR PRICING AMERICAN STYLE DERIVATIVES(Special Issue on Theory, Methodology and Applications in Financial Engneering)
- Pricing high-dimensional Bermudan options using the stochastic grid method
- Continuously monitored barrier options under Markov processes
- Quantization goes polynomial
- Dynamic programming for optimal stopping via pseudo-regression
- Stationary Heston model: calibration and pricing of exotics using product recursive quantization
- Randomized Optimal Stopping Algorithms and Their Convergence Analysis
- A machine learning approach to adaptive robust utility maximization and hedging
- Optimal stopping of McKean-Vlasov diffusions via regression on particle systems
- Implied stopping rules for American basket options from Markovian projection
- Deep optimal stopping
- A robust tree method for pricing American options with the Cox–Ingersoll–Ross interest rate model
- Pricing of barrier options by marginal functional quantization
- An interpolated stochastic algorithm for quasi-linear PDEs
- Comparative survey on nonlinear filtering methods: the quantization and the particle filtering approaches
- MONTE CARLO EVALUATION OF AMERICAN OPTIONS USING CONSUMPTION PROCESSES
- Pricing Bermudan Options Using Regression Trees/Random Forests
- A constructive sharp approach to functional quantization of stochastic processes
- Irreversible investment under predictable growth: why land stays vacant when housing demand is booming
- Convergence of the Backward Deep BSDE Method with Applications to Optimal Stopping Problems
- Forest of stochastic meshes: a new method for valuing high-dimensional swing options
- Optimal quantization applied to sliced inverse regression
- The stochastic grid bundling method: efficient pricing of Bermudan options and their Greeks
- Improved error bounds for quantization based numerical schemes for BSDE and nonlinear filtering
- Exponentially accurate spectral Monte Carlo method for linear PDEs and their error estimates
- An overview of approximate dynamic programming methods for optimal stopping problems
- Tree approximation of scenario processes for multistage stochastic optimization: algorithms and fast implementations
- Simultaneous upper and lower bounds of American-style option prices with hedging via neural networks
- Quantization of stochastic volatility models: numerical tests and an open source implementation
- Joint arbitrage-free smoothing of American call and put options surfaces
- Valuation of power plants by utility indifference and numerical computation
- Monte Carlo estimation of a joint density using Malliavin calculus, and application to American options
- Dynamic generation of scenario trees
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