Generic improvements to least squares Monte Carlo methods with applications to optimal stopping problems
type: Item
instance of: scholarly article
title: Generic improvements to least squares Monte Carlo methods with applications to optimal stopping problems
zbMATH Open document ID: 1490.91246
author: Wei Wei
author: Dan Zhu
published in: European Journal of Operational Research
publication date: 2022-02-22T00:00:00Z
Mathematics Subject Classification ID: 91G60
Mathematics Subject Classification ID: 60G40
Mathematics Subject Classification ID: 65C05
Mathematics Subject Classification ID: 90C39
Mathematics Subject Classification ID: 91G20
zbMATH DE Number: 7478873
zbMATH Keywords: finance
zbMATH Keywords: Bermudan options
zbMATH Keywords: Monte Carlo simulation
zbMATH Keywords: dynamic programming
zbMATH Keywords: high-dimensional option pricing
MaRDI profile type: Publication
full work available at URL: j.ejor.2021.08.016
OpenAlex ID: W3194439211
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DOI: 10.1016/J.EJOR.2021.08.016
description: scientific article; zbMATH DE number 7478873