Pages that link to "Item:Q2917432"

The following pages link to Monte-Carlo Valuation of American Options: Facts and New Algorithms to Improve Existing Methods (Q2917432):

Displaying 30 items.

• Option valuation and hedging using an asymmetric risk function: asymptotic optimality through fully nonlinear partial differential equations (Q784734) (← links)
• On the Monte Carlo simulation of BSDEs: an improvement on the Malliavin weights (Q981018) (← links)
• Numerical approximation of BSDEs using local polynomial drivers and branching processes (Q1691497) (← links)
• Cross-hedging minimum return guarantees: basis and liquidity risks (Q1994419) (← links)
• Optimal decision policy for real options under general Markovian dynamics (Q2028909) (← links)
• Statistical learning for probability-constrained stochastic optimal control (Q2029386) (← links)
• Solving BSDEs based on novel multi-step schemes and multilevel Monte Carlo (Q2088763) (← links)
• Deep combinatorial optimisation for optimal stopping time problems: application to swing options pricing. (Q2094859) (← links)
• McKean Feynman-Kac probabilistic representations of non-linear partial differential equations (Q2107414) (← links)
• On conditional cuts for stochastic dual dynamic programming (Q2195564) (← links)
• Discrete-type approximations for non-Markovian optimal stopping problems. II (Q2218844) (← links)
• Neural network regression for Bermudan option pricing (Q2239248) (← links)
• Fast multivariate empirical cumulative distribution function with connection to kernel density estimation (Q2242044) (← links)
• Machine learning for semi linear PDEs (Q2316193) (← links)
• A monotone scheme for high-dimensional fully nonlinear PDEs (Q2346082) (← links)
• A Backward Dual Representation for the Quantile Hedging of Bermudan Options (Q2808185) (← links)
• The Forward-Backward Stochastic Heat Equation: Numerical Analysis and Simulation (Q2818259) (← links)
• Stratified Regression Monte-Carlo Scheme for Semilinear PDEs and BSDEs with Large Scale Parallelization on GPUs (Q2833537) (← links)
• Cubature Methods and Applications (Q2847839) (← links)
• An Introduction to Particle Methods with Financial Applications (Q2917424) (← links)
• Swing Options Valuation: A BSDE with Constrained Jumps Approach (Q2917441) (← links)
• ESTIMATING RESIDUAL HEDGING RISK WITH LEAST-SQUARES MONTE CARLO (Q2941057) (← links)
• Sequential Design for Optimal Stopping Problems (Q2941479) (← links)
• Deep backward schemes for high-dimensional nonlinear PDEs (Q4960067) (← links)
• Regression Monte Carlo for microgrid management (Q4967863) (← links)
• Monte-Carlo methods for the pricing of American options: a semilinear BSDE point of view (Q4967878) (← links)
• Numerical approximation of general Lipschitz BSDEs with branching processes (Q4967879) (← links)
• Discrete-type approximations for non-Markovian optimal stopping problems: Part I (Q5205938) (← links)
• A stochastic approximation for fully nonlinear free boundary parabolic problems (Q5418783) (← links)
• Numerical methods for backward stochastic differential equations: a survey (Q6158181) (← links)