Sensitivities for Bermudan options by regression methods
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Publication:604677
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Cites work
- A distribution-free theory of nonparametric regression
- A regression-based Monte Carlo method to solve backward stochastic differential equations
- An analysis of a least squares regression method for American option pricing
- An iterative method for multiple stopping: convergence and stability
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- scientific article; zbMATH DE number 3810606 (Why is no real title available?)
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- scientific article; zbMATH DE number 1999206 (Why is no real title available?)
- scientific article; zbMATH DE number 4001209 (Why is no real title available?)
- scientific article; zbMATH DE number 1869272 (Why is no real title available?)
- Iterative construction of the optimal Bermudan stopping time
- Kernel estimation of Greek weights by parameter randomization
- Monte Carlo algorithms for optimal stopping and statistical learning
- Monte Carlo construction of hedging strategies against multi-asset European claims
- MONTE CARLO EVALUATION OF AMERICAN OPTIONS USING CONSUMPTION PROCESSES
- Monte Carlo Greeks for financial products via approximative transition densities
- Monte Carlo methods for security pricing
- Monte Carlo valuation of American options
- Practical variance reduction via regression for simulating diffusions
- Pricing American Options: A Duality Approach
- Pricing American-style securities using simulation
- Pricing Bermudan options by nonparametric regression: optimal rates of convergence for lower estimates
- Regression methods in pricing American and Bermudan options using consumption processes
- RISK SENSITIVITIES OF BERMUDA SWAPTIONS
- Robust Libor Modelling and Pricing of Derivative Products
- TRUE UPPER BOUNDS FOR BERMUDAN PRODUCTS VIA NON‐NESTED MONTE CARLO
- 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
(8)- Valuation of fixed and variable rate mortgages: binomial tree versus analytical approximations
- American Option Sensitivities Estimation via a Generalized Infinitesimal Perturbation Analysis Approach
- RISK SENSITIVITIES OF BERMUDA SWAPTIONS
- The early exercise premium in American options by using nonparametric regressions
- Pricing Bermudan options by nonparametric regression: optimal rates of convergence for lower estimates
- On the consistency of regression-based Monte Carlo methods for pricing Bermudan options in case of estimated financial models
- The stochastic grid bundling method: efficient pricing of Bermudan options and their Greeks
- A pure dual approach for hedging Bermudan options
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