Pages that link to "Item:Q1424693"
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The following pages link to An analysis of a least squares regression method for American option pricing (Q1424693):
Displaying 50 items.
- Endogenous trading in credit default swaps (Q272211) (← links)
- A simulation-and-regression approach for stochastic dynamic programs with endogenous state variables (Q336622) (← links)
- The parareal algorithm for American options (Q338075) (← links)
- Quantitative error estimates for a least-squares Monte Carlo algorithm for American option pricing (Q354190) (← links)
- Pricing Bermudan options by nonparametric regression: optimal rates of convergence for lower estimates (Q484205) (← links)
- The longstaff-Schwartz algorithm for Lévy models: results on fast and slow convergence (Q535203) (← links)
- Efficient pricing of discrete Asian options (Q555398) (← links)
- Monte Carlo algorithms for optimal stopping and statistical learning (Q558680) (← 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)
- On regression-based stopping times (Q708889) (← links)
- Pricing life insurance contracts with early exercise features (Q732096) (← links)
- American option pricing under GARCH diffusion model: an empirical study (Q741895) (← links)
- Macroeconomic implications of term structures of interest rates under stochastic differential utility with non-unitary EIS (Q836969) (← links)
- Valuation of life insurance surrender and exchange options (Q931172) (← links)
- Convergence and biases of Monte Carlo estimates of American option prices using a parametric exercise rule (Q951396) (← links)
- An irregular grid approach for pricing high-dimensional American options (Q952083) (← links)
- Hedging using simulation: a least squares approach (Q956433) (← links)
- American option pricing under stochastic volatility: an efficient numerical approach (Q970136) (← links)
- Sequential Monte Carlo pricing of American-style options under stochastic volatility models (Q977632) (← links)
- On improving the least squares Monte Carlo option valuation method (Q1025618) (← 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)
- Canonical least-squares Monte Carlo valuation of American options: convergence and empirical pricing analysis (Q1719097) (← links)
- A pure martingale dual for multiple stopping (Q1761446) (← links)
- A Longstaff and Schwartz approach to the early election problem (Q1929895) (← links)
- On the stability the least squares Monte Carlo (Q1940435) (← 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)
- Neural network regression for Bermudan option pricing (Q2239248) (← links)
- An analysis of asymptotic properties and error control under the exponential jump-diffusion model for American option pricing (Q2241258) (← links)
- Monte Carlo methods via a dual approach for some discrete time stochastic control problems (Q2264108) (← links)
- Expected utility and catastrophic risk in a stochastic economy-climate model (Q2280605) (← links)
- Valuing portfolios of interdependent real options using influence diagrams and simulation-and-regression: a multi-stage stochastic integer programming approach (Q2289885) (← links)
- A monotone scheme for high-dimensional fully nonlinear PDEs (Q2346082) (← links)
- The difference between LSMC and replicating portfolio in insurance liability modeling (Q2356640) (← links)
- Reference policies for non-myopic sequential network design and timing problems (Q2358056) (← links)
- Inside the Solvency 2 black box: net asset values and solvency capital requirements with a least-squares Monte-Carlo approach (Q2374093) (← links)
- A convergent quadratic-time lattice algorithm for pricing European-style Asian options (Q2383617) (← links)
- The valuation of multidimensional American real options using the LSM simulation method (Q2384589) (← links)
- On the primal-dual algorithm for callable bermudan options (Q2393163) (← links)
- Pricing and risk of swing contracts in natural gas markets (Q2418428) (← links)
- A dynamic look-ahead Monte Carlo algorithm for pricing Bermudan options (Q2467599) (← links)
- Time discretization and Markovian iteration for coupled FBSDEs (Q2476402) (← links)
- Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations (Q2485757) (← links)
- Representations and regularities for solutions to BSDEs with reflections (Q2485839) (← links)
- Discrete-time approximation for continuously and discretely reflected BSDEs (Q2518617) (← links)
