JDOI variance reduction method and the pricing of American-style options
From MaRDI portal
Publication:5079357
DOI10.1080/14697688.2021.1962959zbMath1486.91091arXiv2104.01365OpenAlexW3199709687MaRDI QIDQ5079357
Johan Auster, Ludovic Mathys, Fabio Maeder
Publication date: 27 May 2022
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2104.01365
Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Numerical methods for integral equations (65R20) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Monte Carlo algorithms for optimal stopping and statistical learning
- Applied stochastic control of jump diffusions.
- Mathematical methods for financial markets.
- Itô's stochastic calculus: its surprising power for applications
- Approximation with generalized hyperexponential distributions: Weak convergence results
- Valuation of the early-exercise price for options using simulations and nonparametric regression
- Pricing American-style securities using simulation
- An analysis of a least squares regression method for American option pricing
- Chebyshev interpolation for parametric option pricing
- Pricing and hedging GMWB in the Heston and in the Black-Scholes with stochastic interest rate models
- Pricing barrier options in the Heston model using the Heath-Platen estimator
- Number of paths versus number of basis functions in American option pricing
- Valuation of stock loans with jump risk
- Compact finite difference method for American option pricing
- The valuation of multidimensional American real options using the LSM simulation method
- A dynamic look-ahead Monte Carlo algorithm for pricing Bermudan options
- Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations
- Pricing Asian Options Under a Hyper-Exponential Jump Diffusion Model
- PRICING OF HIGH-DIMENSIONAL AMERICAN OPTIONS BY NEURAL NETWORKS
- Lévy Processes and Stochastic Calculus
- Advanced Monte Carlo Methods for Barrier and Related Exotic Options
- First-Order Schemes in the Numerical Quantization Method
- Parisian options with jumps: a maturity–excursion randomization approach
- A variance reduction technique based on integral representations
- Pricing high-dimensional Bermudan options using the stochastic grid method
- Machine learning for pricing American options in high-dimensional Markovian and non-Markovian models
- THE 4/2 STOCHASTIC VOLATILITY MODEL: A UNIFIED APPROACH FOR THE HESTON AND THE 3/2 MODEL
- A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
- Deep optimal stopping
- A Finite Difference Scheme for Option Pricing in Jump Diffusion and Exponential Lévy Models
- Intra‐Horizon expected shortfall and risk structure in models with jumps
This page was built for publication: JDOI variance reduction method and the pricing of American-style options
