Pages that link to "Item:Q4506926"
From MaRDI portal
The following pages link to Optimal stopping of Markov processes: Hilbert space theory, approximation algorithms, and an application to pricing high-dimensional financial derivatives (Q4506926):
Displaying 50 items.
- Quantitative error estimates for a least-squares Monte Carlo algorithm for American option pricing (Q354190) (← links)
- On data-based optimal stopping under stationarity and ergodicity (Q358137) (← links)
- Multi-asset American options and parallel quantization (Q370907) (← links)
- Q-learning and policy iteration algorithms for stochastic shortest path problems (Q378731) (← links)
- Pricing of American options in discrete time using least squares estimates with complexity penalties (Q433745) (← links)
- Monte Carlo algorithms for optimal stopping and statistical learning (Q558680) (← links)
- On regression-based stopping times (Q708889) (← links)
- Analysis of least squares regression estimates in case of additional errors in the variables (Q710765) (← links)
- A new learning algorithm for optimal stopping (Q839001) (← 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 generalized Kalman filter for fixed point approximation and efficient temporal-difference learning (Q859737) (← links)
- Rate-optimal and reduced-complexity sequential sensing algorithms for cognitive OFDM radios (Q967092) (← links)
- Projected equation methods for approximate solution of large linear systems (Q1012492) (← links)
- Single name credit default swaptions meet single sided jump models (Q1025620) (← links)
- Revisit of stochastic mesh method for pricing American options (Q1043249) (← links)
- A simulation approach to optimal stopping under partial information (Q1045791) (← links)
- On the methods of pricing American options: case study (Q1703539) (← links)
- Shape constraints in economics and operations research (Q1730901) (← links)
- A new class of dual upper bounds for early exercisable derivatives encompassing both the additive and multiplicative bounds (Q1785438) (← links)
- Log-robust portfolio management with parameter ambiguity (Q1789607) (← links)
- Energy contracts management by stochastic programming techniques (Q1931657) (← links)
- A regression-based smoothing spline Monte Carlo algorithm for pricing American options in discrete time (Q2006839) (← links)
- Fundamental design principles for reinforcement learning algorithms (Q2094028) (← links)
- Adjoint DSMC for nonlinear Boltzmann equation constrained optimization (Q2129283) (← links)
- Efficient algorithms of pathwise dynamic programming for decision optimization in mining operations (Q2178364) (← links)
- On conditional cuts for stochastic dual dynamic programming (Q2195564) (← links)
- Optimal procurement strategies for contractual assembly systems with fluctuating procurement price (Q2196110) (← links)
- Structural estimation of real options models (Q2271671) (← links)
- Valuing portfolios of interdependent real options using influence diagrams and simulation-and-regression: a multi-stage stochastic integer programming approach (Q2289885) (← links)
- Inside the Solvency 2 black box: net asset values and solvency capital requirements with a least-squares Monte-Carlo approach (Q2374093) (← links)
- Optimal stopping in infinite horizon: an eigenfunction expansion approach (Q2446714) (← links)
- Irreversible investments with delayed reaction: an application to generation re-dispatch in power system operation (Q2454075) (← links)
- A dynamic look-ahead Monte Carlo algorithm for pricing Bermudan options (Q2467599) (← links)
- An approximate moving boundary method for American option pricing (Q2629646) (← links)
- A representation theorem for smooth Brownian martingales (Q2833694) (← links)
- Approximate policy iteration: a survey and some new methods (Q2887629) (← links)
- Optimal Hedging of American Options in Discrete Time (Q2917430) (← links)
- Monte-Carlo Valuation of American Options: Facts and New Algorithms to Improve Existing Methods (Q2917432) (← links)
- American Option Sensitivities Estimation via a Generalized Infinitesimal Perturbation Analysis Approach (Q2935304) (← 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)
- Computing the endogenous mortgage rate without iterations (Q3404100) (← links)
- A SIMPLE AMERICAN OPTION PRICING METHOD USING THE FAST FOURIER TRANSFORM (Q3498242) (← links)
- Application of kernel-based stochastic gradient algorithms to option pricing (Q3516785) (← links)
- PRICING OF HIGH-DIMENSIONAL AMERICAN OPTIONS BY NEURAL NETWORKS (Q3576955) (← links)
- Improved lower and upper bound algorithms for pricing American options by simulation (Q3605244) (← links)
- An efficient implementation of a least squares Monte Carlo method for valuing American-style options (Q3636738) (← links)
- Necessary and sufficient conditions for the pointwise convergence of nearest neighbor regression function estimates (Q3942221) (← links)
