Pages that link to "Item:Q1381139"
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The following pages link to Valuation of the early-exercise price for options using simulations and nonparametric regression (Q1381139):
Displaying 50 items.
- Efficient valuation of SCR via a neural network approach (Q344299) (← links)
- Multilevel dual approach for pricing American style derivatives (Q377450) (← links)
- Dual pricing of multi-exercise options under volume constraints (Q483695) (← links)
- Pricing Bermudan options by nonparametric regression: optimal rates of convergence for lower estimates (Q484205) (← links)
- Semi-parametric estimation of American option prices (Q528168) (← links)
- Sensitivities for Bermudan options by regression methods (Q604677) (← links)
- On the rates of convergence of simulation-based optimization algorithms for optimal stopping problems (Q627243) (← links)
- Forest of stochastic meshes: a new method for valuing high-dimensional swing options (Q631202) (← links)
- The stochastic grid bundling method: efficient pricing of Bermudan options and their Greeks (Q668683) (← links)
- Analysis of least squares regression estimates in case of additional errors in the variables (Q710765) (← links)
- Management of water resource systems in the presence of uncertainties by nonlinear approximation techniques and deterministic sampling (Q711389) (← links)
- Pricing life insurance contracts with early exercise features (Q732096) (← links)
- American option pricing under GARCH diffusion model: an empirical study (Q741895) (← links)
- Exotic options under Lévy models: an overview (Q818210) (← links)
- Valuation of power plants by utility indifference and numerical computation (Q836863) (← links)
- Monte Carlo estimation of a joint density using Malliavin calculus, and application to American options (Q853652) (← links)
- Pricing European options by numerical replication: quadratic programming with constraints (Q853858) (← links)
- A mixed PDE-Monte Carlo approach for pricing credit default index swaptions (Q882492) (← links)
- Indifference pricing of pure endowments and life annuities under stochastic hazard and interest rates (Q939322) (← links)
- Convergence and biases of Monte Carlo estimates of American option prices using a parametric exercise rule (Q951396) (← links)
- Hedging using simulation: a least squares approach (Q956433) (← links)
- American option pricing under stochastic volatility: an empirical evaluation (Q970137) (← links)
- Monte Carlo methods for security pricing (Q1391435) (← links)
- Pricing American-style securities using simulation (Q1391436) (← links)
- Pricing bounds for volatility derivatives via duality and least squares Monte Carlo (Q1626511) (← links)
- Dynamic portfolio choices by simulation-and-regression: revisiting the issue of value function vs. portfolio weight recursions (Q1652164) (← links)
- Evaluation of counterparty risk for derivatives with early-exercise features (Q1657201) (← links)
- An improved least squares Monte Carlo valuation method based on heteroscedasticity (Q1694951) (← links)
- On the methods of pricing American options: case study (Q1703539) (← links)
- Relationship between least squares Monte Carlo and approximate linear programming (Q1728294) (← links)
- Comparison of least squares Monte Carlo methods with applications to energy real options (Q1752185) (← links)
- A two-step simulation procedure to analyze the exercise features of American options (Q1762863) (← links)
- A new class of dual upper bounds for early exercisable derivatives encompassing both the additive and multiplicative bounds (Q1785438) (← links)
- Practical policy iteration: generic methods for obtaining rapid and tight bounds for Bermudan exotic derivatives using Monte Carlo simulation (Q1994265) (← links)
- Effective sub-simulation-free upper bounds for the Monte Carlo pricing of callable derivatives and various improvements to existing methodologies (Q1994388) (← links)
- Fair dynamic valuation of insurance liabilities via convex hedging (Q2034141) (← links)
- Generic improvements to least squares Monte Carlo methods with applications to optimal stopping problems (Q2076899) (← links)
- A new deep neural network algorithm for multiple stopping with applications in options pricing (Q2108626) (← links)
- Robust utility maximization under model uncertainty via a penalization approach (Q2120592) (← links)
- A least-squares Monte Carlo approach to the estimation of enterprise risk (Q2153521) (← links)
- Efficient algorithms of pathwise dynamic programming for decision optimization in mining operations (Q2178364) (← links)
- Discrete-type approximations for non-Markovian optimal stopping problems. II (Q2218844) (← links)
- Comparison of low discrepancy mesh methods for pricing Bermudan options under a Lévy process (Q2229844) (← links)
- Neural network regression for Bermudan option pricing (Q2239248) (← links)
- Re-evaluating natural resource investments under uncertainty: an alternative to limited traditional approaches (Q2241100) (← links)
- An analysis of asymptotic properties and error control under the exponential jump-diffusion model for American option pricing (Q2241258) (← links)
- Optimal liquidation problem in illiquid markets (Q2242363) (← links)
- Higher-order interpolated lattice schemes for multidimensional option pricing problems (Q2252708) (← links)
- Structural estimation of real options models (Q2271671) (← links)
- Fair dynamic valuation of insurance liabilities: merging actuarial judgement with market- and time-consistency (Q2273972) (← links)
