Pages that link to "Item:Q704011"

The following pages link to Assessing the least squares Monte-Carlo approach to American option valuation (Q704011):

Displaying 32 items.

• A simulation-and-regression approach for stochastic dynamic programs with endogenous state variables (Q336622) (← links)
• Quantitative error estimates for a least-squares Monte Carlo algorithm for American option pricing (Q354190) (← links)
• The longstaff-Schwartz algorithm for Lévy models: results on fast and slow convergence (Q535203) (← links)
• On fair pricing of emission-related derivatives (Q627301) (← links)
• Forest of stochastic meshes: a new method for valuing high-dimensional swing options (Q631202) (← links)
• Pricing life insurance contracts with early exercise features (Q732096) (← links)
• An irregular grid approach for pricing high-dimensional American options (Q952083) (← links)
• On improving the least squares Monte Carlo option valuation method (Q1025618) (← links)
• Dynamic portfolio choices by simulation-and-regression: revisiting the issue of value function vs. portfolio weight recursions (Q1652164) (← links)
• An improved least squares Monte Carlo valuation method based on heteroscedasticity (Q1694951) (← links)
• On the stability the least squares Monte Carlo (Q1940435) (← links)
• The correction of multiscale stochastic volatility to American put option: an asymptotic approximation and finite difference approach (Q2236410) (← links)
• Valuing portfolios of interdependent real options using influence diagrams and simulation-and-regression: a multi-stage stochastic integer programming approach (Q2289885) (← links)
• Valuing convertible bonds based on LSRQM method (Q2320730) (← links)
• Pricing American options using a nonparametric entropy approach (Q2321382) (← links)
• Application of Bayesian penalized spline regression for internal modeling in life insurance (Q2323667) (← links)
• The difference between LSMC and replicating portfolio in insurance liability modeling (Q2356640) (← links)
• The valuation of multidimensional American real options using the LSM simulation method (Q2384589) (← links)
• American Option Pricing Using Simulation and Regression: Numerical Convergence Results (Q2920953) (← links)
• American Option Sensitivities Estimation via a Generalized Infinitesimal Perturbation Analysis Approach (Q2935304) (← links)
• Regression-based algorithms for life insurance contracts with surrender guarantees (Q2994846) (← links)
• Valuation of energy storage: an optimal switching approach (Q3564806) (← links)
• An efficient implementation of a least squares Monte Carlo method for valuing American-style options (Q3636738) (← links)
• A Comparison Between Different Numerical Schemes for the Valuation of Unit-Linked Contracts Embedding a Surrender Option (Q4561898) (← links)
• Deep neural network framework based on backward stochastic differential equations for pricing and hedging American options in high dimensions (Q5014169) (← links)
• American option pricing under double Heston stochastic volatility model: simulation and strong convergence analysis (Q5107393) (← links)
• Mixing LSMC and PDE Methods to Price Bermudan Options (Q5112723) (← links)
• Primal–dual quasi-Monte Carlo simulation with dimension reduction for pricing American options (Q5139263) (← links)
• AMERICAN OPTION PRICING WITH REGRESSION: CONVERGENCE ANALYSIS (Q5210915) (← links)
• Pricing bounds and bang-bang analysis of the Polaris variable annuities (Q5215446) (← links)
• A quasi-analytical interpolation method for pricing American options under general multi-dimensional diffusion processes (Q5962134) (← links)
• Optimal liquidation through a limit order book: a neural network and simulation approach (Q6164829) (← links)