Pages that link to "Item:Q2467599"

The following pages link to A dynamic look-ahead Monte Carlo algorithm for pricing Bermudan options (Q2467599):

Displaying 27 items.

• Quantitative error estimates for a least-squares Monte Carlo algorithm for American option pricing (Q354190) (← links)
• Pricing of American options in discrete time using least squares estimates with complexity penalties (Q433745) (← 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)
• On the rates of convergence of simulation-based optimization algorithms for optimal stopping problems (Q627243) (← links)
• Analysis of least squares regression estimates in case of additional errors in the variables (Q710765) (← links)
• An improved least squares Monte Carlo valuation method based on heteroscedasticity (Q1694951) (← links)
• A regression-based smoothing spline Monte Carlo algorithm for pricing American options in discrete time (Q2006839) (← links)
• Regression Monte Carlo for impulse control (Q2094845) (← 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)
• Expected utility and catastrophic risk in a stochastic economy-climate model (Q2280605) (← links)
• The difference between LSMC and replicating portfolio in insurance liability modeling (Q2356640) (← links)
• Sequential Design for Optimal Stopping Problems (Q2941479) (← links)
• Algorithms for Optimal Control of Stochastic Switching Systems (Q3178726) (← links)
• General Error Estimates for the Longstaff–Schwartz Least-Squares Monte Carlo Algorithm (Q3387908) (← links)
• PRICING OF HIGH-DIMENSIONAL AMERICAN OPTIONS BY NEURAL NETWORKS (Q3576955) (← links)
• Necessary and sufficient conditions for the pointwise convergence of nearest neighbor regression function estimates (Q3942221) (← links)
• CONVERGENCE OF A LEAST‐SQUARES MONTE CARLO ALGORITHM FOR AMERICAN OPTION PRICING WITH DEPENDENT SAMPLE DATA (Q4635047) (← links)
• On the convergence of the quasi-regression method: polynomial chaos and regularity (Q4684863) (← links)
• Solving high-dimensional optimal stopping problems using deep learning (Q5014845) (← links)
• JDOI variance reduction method and the pricing of American-style options (Q5079357) (← links)
• Pricing bounds and bang-bang analysis of the Polaris variable annuities (Q5215446) (← links)
• Optimal Stopping of McKean--Vlasov Diffusions via Regression on Particle Systems (Q5217945) (← links)
• ON THE CONSISTENCY OF REGRESSION‐BASED MONTE CARLO METHODS FOR PRICING BERMUDAN OPTIONS IN CASE OF ESTIMATED FINANCIAL MODELS (Q5247425) (← links)
• Deep optimal stopping (Q5381128) (← links)
• Optimal liquidation through a limit order book: a neural network and simulation approach (Q6164829) (← links)