Pages that link to "Item:Q1424693"
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The following pages link to An analysis of a least squares regression method for American option pricing (Q1424693):
Displaying 50 items.
- Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations (Q2485757) (← links)
- Representations and regularities for solutions to BSDEs with reflections (Q2485839) (← links)
- Discrete-time approximation for continuously and discretely reflected BSDEs (Q2518617) (← links)
- A regression-based Monte Carlo method to solve backward stochastic differential equations (Q2572405) (← links)
- Error analysis of the optimal quantization algorithm for obstacle problems. (Q2574574) (← links)
- Stochastic approximation methods for American type options (Q2807793) (← links)
- Discrete-time approximation of decoupled forward-backward stochastic differential equations driven by pure jump Lévy processes (Q2856036) (← links)
- FHS-GARCH-LSM: a new method for pricing American options (Q2860089) (← links)
- Refining the least squares Monte Carlo method by imposing structure (Q2879045) (← links)
- An Introduction to Particle Methods with Financial Applications (Q2917424) (← links)
- Monte Carlo Approximations of American Options that Preserve Monotonicity and Convexity (Q2917427) (← links)
- Monte-Carlo Valuation of American Options: Facts and New Algorithms to Improve Existing Methods (Q2917432) (← 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)
- ESTIMATING RESIDUAL HEDGING RISK WITH LEAST-SQUARES MONTE CARLO (Q2941057) (← links)
- Sequential Design for Optimal Stopping Problems (Q2941479) (← links)
- ON THE CALCULATION OF RISK MEASURES USING LEAST-SQUARES MONTE CARLO (Q2986664) (← links)
- Regression-based algorithms for life insurance contracts with surrender guarantees (Q2994846) (← links)
- The central limit theorem for a nonlinear algorithm based on quantization (Q3043432) (← links)
- The least squares method for option pricing revisited (Q3177165) (← links)
- Algorithms for Optimal Control of Stochastic Switching Systems (Q3178726) (← links)
- Effect of different basis functions on the LSM pricing of American option (Q3381503) (← links)
- General Error Estimates for the Longstaff–Schwartz Least-Squares Monte Carlo Algorithm (Q3387908) (← links)
- Convergence of a Least‐Squares Monte Carlo Algorithm for Bounded Approximating Sets (Q3395724) (← links)
- Regression methods in pricing American and Bermudan options using consumption processes (Q3395739) (← links)
- Least Square Regression Methods for Bermudan Derivatives and Systems of Functions (Q3463646) (← links)
- PRICING OF HIGH-DIMENSIONAL AMERICAN OPTIONS BY NEURAL NETWORKS (Q3576955) (← links)
- Pricing Asset Scheduling Flexibility using Optimal Switching (Q3617303) (← links)
- An efficient implementation of a least squares Monte Carlo method for valuing American-style options (Q3636738) (← links)
- The Parareal Algorithm for American Options (Q4553797) (← links)
- Regression-Based Complexity Reduction of the Nested Monte Carlo Methods (Q4579837) (← links)
- EXPLICIT HESTON SOLUTIONS AND STOCHASTIC APPROXIMATION FOR PATH-DEPENDENT OPTION PRICING (Q4608114) (← links)
- VALUATION OF CONTINGENT GUARANTEES USING LEAST-SQUARES MONTE CARLO (Q4629470) (← links)
- CONVERGENCE OF A LEAST‐SQUARES MONTE CARLO ALGORITHM FOR AMERICAN OPTION PRICING WITH DEPENDENT SAMPLE DATA (Q4635047) (← links)
- PRICING OF THE AMERICAN PUT UNDER LÉVY PROCESSES (Q4653014) (← links)
- MONTE CARLO METHODS FOR THE VALUATION OF MULTIPLE‐EXERCISE OPTIONS (Q4673671) (← links)
- On the convergence of the quasi-regression method: polynomial chaos and regularity (Q4684863) (← links)
- XVA PRINCIPLES, NESTED MONTE CARLO STRATEGIES, AND GPU OPTIMIZATIONS (Q4686502) (← links)
- Regression-based Monte Carlo methods for stochastic control models: variable annuities with lifelong guarantees (Q5001178) (← links)
- JDOI variance reduction method and the pricing of American-style options (Q5079357) (← links)
- Variance reduction for risk measures with importance sampling in nested simulation (Q5079359) (← links)
- On the investment strategies in occupational pension plans (Q5079380) (← 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)
- Optimal Stopping Under Uncertainty in Drift and Jump Intensity (Q5219694) (← links)
- BRANCHING PARTICLE PRICERS WITH HESTON EXAMPLES (Q5221479) (← links)
- Generative Bayesian neural network model for risk-neutral pricing of American index options (Q5234315) (← links)
- Simulation-based Value-at-Risk for nonlinear portfolios (Q5235455) (← links)
