Relationship between least squares Monte Carlo and approximate linear programming
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Cites work
- scientific article; zbMATH DE number 700091 (Why is no real title available?)
- scientific article; zbMATH DE number 1999206 (Why is no real title available?)
- scientific article; zbMATH DE number 2051217 (Why is no real title available?)
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- Control of diffusions via linear programming
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- Implementing models in quantitative finance: methods and cases
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- Valuation of Commodity-Based Swing Options
- Valuation of energy storage: an optimal switching approach
- Valuation of the early-exercise price for options using simulations and nonparametric regression
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