Pages that link to "Item:Q3605244"

The following pages link to Improved lower and upper bound algorithms for pricing American options by simulation (Q3605244):

Displaying 19 items.

• Multilevel dual approach for pricing American style derivatives (Q377450) (← links)
• The stochastic grid bundling method: efficient pricing of Bermudan options and their Greeks (Q668683) (← links)
• A lattice algorithm for pricing moving average barrier options (Q975929) (← links)
• Valuation of American strangles through an optimized lower-upper bound approach (Q1655917) (← 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 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)
• Explainable neural network for pricing and universal static hedging of contingent claims (Q2060236) (← links)
• Generic improvements to least squares Monte Carlo methods with applications to optimal stopping problems (Q2076899) (← links)
• Moving average options: machine learning and Gauss-Hermite quadrature for a double non-Markovian problem (Q2158055) (← links)
• A deep learning approach for computations of exposure profiles for high-dimensional Bermudan options (Q2243318) (← links)
• Deep learning for CVA computations of large portfolios of financial derivatives (Q2244169) (← links)
• Recursive lower and dual upper bounds for Bermudan-style options (Q2273928) (← links)
• The difference between LSMC and replicating portfolio in insurance liability modeling (Q2356640) (← links)
• On the primal-dual algorithm for callable bermudan options (Q2393163) (← links)
• Simple improvement method for upper bound of American option (Q3108374) (← links)
• Computation of conditional expectations with guarantees (Q6159022) (← links)