Refining the least squares Monte Carlo method by imposing structure

DOI10.1080/14697688.2013.787543MaRDI QIDQ2879045zbMATH OpenOpenAlexFDO

Authors P. Létourneau, Lars Stentoft

Publication date 5 September 2014

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/14697688.2013.787543

zbMATH Keywords

American optionsbias reductionconstrained regressionsimulations

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)

Recommendations

• An improved least squares Monte Carlo valuation method based on heteroscedasticity
• The least squares method for option pricing revisited
• On improving the least squares Monte Carlo option valuation method
• Assessing the least squares Monte-Carlo approach to American option valuation
• An analysis of a least squares regression method for American option pricing

Cites work

• Convergence rates and asymptotic normality for series estimators
• Discrete convexity: Convexity for functions defined on discrete spaces
• On the robustness of least-squares Monte Carlo (LSM) for pricing American derivatives
• Pricing and hedging American-style options: a simple simulation-based approach
• Regression-based algorithms for life insurance contracts with surrender guarantees
• Valuing American options by simulation: a simple least-squares approach

Cited in

(13)

• On improving the least squares Monte Carlo option valuation method
• An improved least squares Monte Carlo valuation method based on heteroscedasticity
• Optimal decision policy for real options under general Markovian dynamics
• Generic improvements to least squares Monte Carlo methods with applications to optimal stopping problems
• A bias-corrected least-squares Monte Carlo for solving multi-period utility models
• The least squares method for option pricing revisited
• Enhancing least squares Monte Carlo with diffusion bridges: an application to energy facilities
• Time-consistent and market-consistent actuarial valuation of the participating pension contract
• Monte Carlo simulation of ordinary least squares estimator through linear regression adaptive refined descriptive sampling algorithm
• Deep learning for ranking response surfaces with applications to optimal stopping problems
• Statistical arbitrage with optimal causal paths on high-frequency data of the S&P 500
• Bias reduction for pricing American options by least-squares Monte Carlo
• Fair valuations of insurance policies under multiple risk factors: a flexible lattice approach

This page was built for publication: Refining the least squares Monte Carlo method by imposing structure

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2879045)