Pages that link to "Item:Q1421715"
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The following pages link to On the robustness of least-squares Monte Carlo (LSM) for pricing American derivatives (Q1421715):
Displaying 27 items.
- Pricing life insurance contracts with early exercise features (Q732096) (← links)
- An irregular grid approach for pricing high-dimensional American options (Q952083) (← links)
- American option pricing under stochastic volatility: an efficient numerical approach (Q970136) (← links)
- On improving the least squares Monte Carlo option valuation method (Q1025618) (← links)
- An approximate dynamic programming approach to decision making in the presence of uncertainty for surfactant-polymer flooding (Q1663658) (← links)
- An improved least squares Monte Carlo valuation method based on heteroscedasticity (Q1694951) (← links)
- Canonical least-squares Monte Carlo valuation of American options: convergence and empirical pricing analysis (Q1719097) (← links)
- On the stability the least squares Monte Carlo (Q1940435) (← links)
- Fair dynamic valuation of insurance liabilities via convex hedging (Q2034141) (← links)
- Generic improvements to least squares Monte Carlo methods with applications to optimal stopping problems (Q2076899) (← links)
- A least-squares Monte Carlo approach to the estimation of enterprise risk (Q2153521) (← links)
- Comparison of low discrepancy mesh methods for pricing Bermudan options under a Lévy process (Q2229844) (← links)
- Fair dynamic valuation of insurance liabilities: merging actuarial judgement with market- and time-consistency (Q2273972) (← links)
- Valuing portfolios of interdependent real options using influence diagrams and simulation-and-regression: a multi-stage stochastic integer programming approach (Q2289885) (← links)
- The valuation of multidimensional American real options using the LSM simulation method (Q2384589) (← links)
- Refining the least squares Monte Carlo method by imposing structure (Q2879045) (← links)
- American Option Pricing Using Simulation and Regression: Numerical Convergence Results (Q2920953) (← links)
- Regression-based algorithms for life insurance contracts with surrender guarantees (Q2994846) (← links)
- Effect of different basis functions on the LSM pricing of American option (Q3381503) (← 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)
- Valuation of R&D Investment Opportunities Using the Least-Squares Monte Carlo Method (Q4561922) (← links)
- Primal–dual quasi-Monte Carlo simulation with dimension reduction for pricing American options (Q5139263) (← links)
- Fair dynamic valuation of insurance liabilities: a loss averse convex hedging approach (Q5140651) (← links)
- A quasi-analytical interpolation method for pricing American options under general multi-dimensional diffusion processes (Q5962134) (← links)
- Risk management with local least squares Monte Carlo (Q6569736) (← links)
- Coping with longevity via hedging: fair dynamic valuation of variable annuities (Q6573823) (← links)
