The following pages link to (Q4895161):
Displaying 34 items.
- Multilevel dual approach for pricing American style derivatives (Q377450) (← links)
- Dual pricing of multi-exercise options under volume constraints (Q483695) (← links)
- Backward stochastic differential equations with reflection and Dynkin games (Q674517) (← links)
- A new learning algorithm for optimal stopping (Q839001) (← links)
- Reflected solutions of backward SDE's, and related obstacle problems for PDE's (Q1356364) (← links)
- Optimal stopping and the sufficiency of randomized threshold strategies (Q1748586) (← 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)
- Numerical solutions to dynamic portfolio problems with upper bounds (Q1789606) (← links)
- Linear-quadratic control and information relaxations (Q1939706) (← 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)
- Generic improvements to least squares Monte Carlo methods with applications to optimal stopping problems (Q2076899) (← links)
- Are American options European after all? (Q2134285) (← links)
- Monte Carlo methods via a dual approach for some discrete time stochastic control problems (Q2264108) (← links)
- Behaviorally consistent optimal stopping rules (Q2277349) (← links)
- Stochastic control with rough paths (Q2400494) (← links)
- Optimal stopping via pathwise dual empirical maximisation (Q2422357) (← links)
- High-dimensional portfolio optimization with transaction costs (Q2814667) (← links)
- Multilevel Simulation Based Policy Iteration for Optimal Stopping--Convergence and Complexity (Q2945162) (← links)
- LEAST SQUARES MONTE CARLO CREDIT VALUE ADJUSTMENT WITH SMALL AND UNIDIRECTIONAL BIAS (Q2953307) (← links)
- Dual Pricing of American Options by Wiener Chaos Expansion (Q4579832) (← links)
- Discrete Time Approximations of Continuous Time Finite Horizon Stopping Problems (Q4593613) (← links)
- OPTIMAL STOPPING FOR THE LAST EXIT TIME (Q4645777) (← links)
- (Q4923815) (← links)
- Analysing the bias in the primal-dual upper bound method for early exercisable derivatives: bounds, estimation and removal (Q5001149) (← links)
- Solving high-dimensional optimal stopping problems using deep learning (Q5014845) (← links)
- A Trajectorial Approach to the Gradient Flow Properties of Langevin--Smoluchowski Diffusions (Q5034425) (← links)
- Order Now, Pickup in 30 Minutes: Managing Queues with Static Delivery Guarantees (Q5106351) (← 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)
- Optimal Stopping Under Probability Distortions (Q5359121) (← links)
- Deep optimal stopping (Q5381128) (← links)
- From optimal martingales to randomized dual optimal stopping (Q6053122) (← links)
