Pages that link to "Item:Q2488505"
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The following pages link to Iterative construction of the optimal Bermudan stopping time (Q2488505):
Displaying 25 items.
- Multilevel dual approach for pricing American style derivatives (Q377450) (← links)
- Sensitivities for Bermudan options by regression methods (Q604677) (← links)
- A pure martingale dual for multiple stopping (Q1761446) (← 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)
- Additive and multiplicative duals for American option pricing (Q2463707) (← links)
- Multilevel Simulation Based Policy Iteration for Optimal Stopping--Convergence and Complexity (Q2945162) (← links)
- An iterative procedure for solving integral equations related to optimal stopping problems (Q3080991) (← links)
- Simple improvement method for upper bound of American option (Q3108374) (← links)
- Regression methods in pricing American and Bermudan options using consumption processes (Q3395739) (← links)
- The duality of optimal exercise and domineering claims: a Doob–Meyer decomposition approach to the Snell envelope (Q3429332) (← links)
- Enhanced policy iteration for American options via scenario selection (Q3498561) (← links)
- TRUE UPPER BOUNDS FOR BERMUDAN PRODUCTS VIA NON‐NESTED MONTE CARLO (Q3608735) (← links)
- Counterparty Credit Exposures for Interest Rate Derivatives using the Stochastic Grid Bundling Method (Q4585673) (← links)
- On the forward algorithm for stopping problems on continuous-time Markov chains (Q5014307) (← links)
- Solving high-dimensional optimal stopping problems using deep learning (Q5014845) (← links)
- Randomized Optimal Stopping Algorithms and Their Convergence Analysis (Q5162847) (← links)
- Deep optimal stopping (Q5381128) (← links)
- An iterative method for multiple stopping: convergence and stability (Q5395357) (← links)
- Primal–dual linear Monte Carlo algorithm for multiple stopping—an application to flexible caps (Q5397436) (← links)
- MONTE CARLO EVALUATION OF AMERICAN OPTIONS USING CONSUMPTION PROCESSES (Q5483499) (← links)
- Iterative Improvement of Lower and Upper Bounds for Backward SDEs (Q5738163) (← links)
- A perturbative approach to Bermudan options pricing with applications (Q5746759) (← links)
- Laplace transforms of stochastic integrals and the pricing of Bermudan swaptions (Q6067798) (← links)
