Pages that link to "Item:Q3637422"

The following pages link to Pricing American Options: A Duality Approach (Q3637422):

Displaying 34 items.

• Approximations to Stochastic Dynamic Programs via Information Relaxation Duality (Q5126622) (← links)
• Static Routing in Stochastic Scheduling: Performance Guarantees and Asymptotic Optimality (Q5131543) (← links)
• Primal–dual quasi-Monte Carlo simulation with dimension reduction for pricing American options (Q5139263) (← links)
• Optimistic Monte Carlo Tree Search with Sampled Information Relaxation Dual Bounds (Q5144789) (← links)
• An Efficient Numerical Method for the Valuation of American Better-of Options Based on the Front-Fixing Transform and the Far Field Truncation (Q5156976) (← links)
• Randomized Optimal Stopping Algorithms and Their Convergence Analysis (Q5162847) (← links)
• AMERICAN OPTION PRICING WITH REGRESSION: CONVERGENCE ANALYSIS (Q5210915) (← links)
• Pathwise Dynamic Programming (Q5219679) (← links)
• Optimal Stopping Under Uncertainty in Drift and Jump Intensity (Q5219694) (← links)
• On the Compensator in the Doob--Meyer Decomposition of the Snell Envelope (Q5232208) (← links)
• Implied stopping rules for American basket options from Markovian projection (Q5234298) (← links)
• The robust pricing–hedging duality for American options in discrete time financial markets (Q5241566) (← links)
• DUAL REPRESENTATIONS FOR GENERAL MULTIPLE STOPPING PROBLEMS (Q5247424) (← links)
• A PRIMAL–DUAL ALGORITHM FOR BSDES (Q5283406) (← links)
• A Simple Derivation of and Improvements to Jamshidian's and Rogers' Upper Bound Methods for Bermudan Options (Q5310693) (← links)
• First Order BSPDEs in Higher Dimension for Optimal Control Problems (Q5347542) (← links)
• SOLUTIONS AND DIAGNOSTICS OF SWITCHING PROBLEMS WITH LINEAR STATE DYNAMICS (Q5369448) (← links)
• Deep optimal stopping (Q5381128) (← links)
• An iterative method for multiple stopping: convergence and stability (Q5395357) (← links)
• A METHOD FOR PRICING AMERICAN OPTIONS USING SEMI‐INFINITE LINEAR PROGRAMMING (Q5411398) (← links)
• Option pricing by mathematical programming† (Q5449021) (← links)
• LATTICE OPTION PRICING BY MULTIDIMENSIONAL INTERPOLATION (Q5700135) (← links)
• Iterative Improvement of Lower and Upper Bounds for Backward SDEs (Q5738163) (← links)
• A FIRST‐ORDER BSPDE FOR SWING OPTION PRICING (Q5739185) (← links)
• A new method for generating approximation algorithms for financial mathematics applications (Q5745631) (← links)
• A perturbative approach to Bermudan options pricing with applications (Q5746759) (← links)
• Reserve-dependent Management Actions in life insurance (Q5878639) (← links)
• From optimal martingales to randomized dual optimal stopping (Q6053122) (← links)
• The stochastic balance equation for the American option value function and its gradient (Q6144442) (← links)
• Efficient pricing and hedging of high-dimensional American options using deep recurrent networks (Q6158427) (← links)
• Primal-Dual Regression Approach for Markov Decision Processes with General State and Action Spaces (Q6198082) (← links)
• A deep learning method for pricing high-dimensional American-style options via state-space partition (Q6543764) (← links)
• Deep neural network expressivity for optimal stopping problems (Q6565562) (← links)
• Efficient parallel Monte-Carlo techniques for pricing American options including counterparty credit risk (Q6625108) (← links)