Pages that link to "Item:Q4795996"
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The following pages link to Monte Carlo valuation of American options (Q4795996):
Displaying 50 items.
- Optimal stopping under model uncertainty: randomized stopping times approach (Q292928) (← links)
- Optimal search for parameters in Monte Carlo simulation for derivative pricing (Q321025) (← links)
- Pricing exotic options and American options: a multidimensional asymptotic expansion approach (Q356757) (← links)
- Solving optimal stopping problems via empirical dual optimization (Q373842) (← links)
- Multilevel dual approach for pricing American style derivatives (Q377450) (← links)
- A unified approach to multiple stopping and duality (Q453044) (← links)
- Dual pricing of multi-exercise options under volume constraints (Q483695) (← links)
- Model uncertainty and the pricing of American options (Q503400) (← links)
- Monte Carlo algorithms for optimal stopping and statistical learning (Q558680) (← links)
- Sensitivities for Bermudan options by regression methods (Q604677) (← links)
- A smooth estimator for MC/QMC methods in finance (Q622177) (← links)
- The stochastic grid bundling method: efficient pricing of Bermudan options and their Greeks (Q668683) (← links)
- Introduction to convex optimization in financial markets (Q715237) (← links)
- Exotic options under Lévy models: an overview (Q818210) (← links)
- A new learning algorithm for optimal stopping (Q839001) (← 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)
- Numerical methods for Lévy processes (Q964687) (← links)
- Sequential Monte Carlo pricing of American-style options under stochastic volatility models (Q977632) (← links)
- A dual approach to multiple exercise option problems under constraints (Q992045) (← links)
- Pricing of path-dependent American options by Monte Carlo simulation (Q1027429) (← links)
- Pricing bounds for volatility derivatives via duality and least squares Monte Carlo (Q1626511) (← links)
- An algorithmic approach to optimal asset liquidation problems (Q1627810) (← links)
- The value of foresight (Q1679467) (← links)
- On the methods of pricing American options: case study (Q1703539) (← links)
- A pure martingale dual for multiple stopping (Q1761446) (← links)
- A new class of dual upper bounds for early exercisable derivatives encompassing both the additive and multiplicative bounds (Q1785438) (← links)
- Dual representation of superhedging costs in illiquid markets (Q1938969) (← links)
- Linear-quadratic control and information relaxations (Q1939706) (← links)
- Optimal oil production and the world supply of oil (Q1994257) (← 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)
- DGM: a deep learning algorithm for solving partial differential equations (Q2002333) (← links)
- Explainable neural network for pricing and universal static hedging of contingent claims (Q2060236) (← links)
- Two-factor Heston model equipped with regime-switching: American option pricing and model calibration by Levenberg-Marquardt optimization algorithm (Q2095684) (← links)
- Are American options European after all? (Q2134285) (← links)
- Solving optimal stopping problems under model uncertainty via empirical dual optimisation (Q2153522) (← links)
- Options as silver bullets: valuation of term loans, inventory management, emissions trading and insurance risk mitigation using option theory (Q2171344) (← links)
- Primal-dual active set method for pricing American better-of option on two assets (Q2205394) (← links)
- Discrete-type approximations for non-Markovian optimal stopping problems. II (Q2218844) (← links)
- The correction of multiscale stochastic volatility to American put option: an asymptotic approximation and finite difference approach (Q2236410) (← links)
- Monte Carlo methods via a dual approach for some discrete time stochastic control problems (Q2264108) (← links)
- Recursive lower and dual upper bounds for Bermudan-style options (Q2273928) (← links)
- A computationally efficient state-space partitioning approach to pricing high-dimensional American options via dimension reduction (Q2356102) (← links)
- On the primal-dual algorithm for callable bermudan options (Q2393163) (← links)
- Stochastic control with rough paths (Q2400494) (← links)
- On a new family of radial basis functions: mathematical analysis and applications to option pricing (Q2406292) (← links)
- Optimal stopping via pathwise dual empirical maximisation (Q2422357) (← links)
- Additive and multiplicative duals for American option pricing (Q2463707) (← links)
- A dynamic look-ahead Monte Carlo algorithm for pricing Bermudan options (Q2467599) (← links)
