Pages that link to "Item:Q5374081"
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The following pages link to Valuing American Options by Simulation: A Simple Least-Squares Approach (Q5374081):
Displaying 50 items.
- Endogenous trading in credit default swaps (Q272211) (← links)
- Smoothing and parametric rules for stochastic mean-CVaR optimal execution strategy (Q285995) (← links)
- Quantitative error estimates for a least-squares Monte Carlo algorithm for American option pricing (Q354190) (← links)
- Pricing exotic options and American options: a multidimensional asymptotic expansion approach (Q356757) (← links)
- On data-based optimal stopping under stationarity and ergodicity (Q358137) (← links)
- Multi-asset American options and parallel quantization (Q370907) (← links)
- Multilevel dual approach for pricing American style derivatives (Q377450) (← links)
- Pricing permanent convertible bonds in EVG model (Q377906) (← links)
- Credit spreads, endogenous bankruptcy and liquidity risk (Q395696) (← links)
- Taming animal spirits: risk management with behavioural factors (Q470654) (← links)
- Dual pricing of multi-exercise options under volume constraints (Q483695) (← links)
- Gamma expansion of the Heston stochastic volatility model (Q483714) (← links)
- Pricing Bermudan options by nonparametric regression: optimal rates of convergence for lower estimates (Q484205) (← links)
- MCMC design-based non-parametric regression for rare event. application to nested risk computations (Q515537) (← links)
- A comparison of single factor Markov-functional and multi factor market models (Q541589) (← links)
- Sensitivities for Bermudan options by regression methods (Q604677) (← links)
- Parallel pricing algorithms for multi-dimensional Bermudan/American options using Monte Carlo methods (Q622185) (← links)
- On the rates of convergence of simulation-based optimization algorithms for optimal stopping problems (Q627243) (← links)
- On fair pricing of emission-related derivatives (Q627301) (← links)
- A HODIE finite difference scheme for pricing American options (Q667962) (← links)
- On regression-based stopping times (Q708889) (← links)
- Management of water resource systems in the presence of uncertainties by nonlinear approximation techniques and deterministic sampling (Q711389) (← links)
- American option pricing under GARCH diffusion model: an empirical study (Q741895) (← links)
- Valuation of American partial barrier options (Q744405) (← links)
- Valuation of power plants by utility indifference and numerical computation (Q836863) (← links)
- A new learning algorithm for optimal stopping (Q839001) (← links)
- Computational methods for pricing American put options (Q850830) (← links)
- Approximate policy optimization and adaptive control in regression models (Q853656) (← links)
- Pricing European options by numerical replication: quadratic programming with constraints (Q853858) (← links)
- Numerical methods for the pricing of swing options: a stochastic control approach (Q861551) (← links)
- Polynomial algorithms for pricing path-dependent interest rate instruments (Q862839) (← links)
- An exact subexponential-time lattice algorithm for Asian options (Q878377) (← links)
- Generic market models (Q881416) (← links)
- A mixed PDE-Monte Carlo approach for pricing credit default index swaptions (Q882492) (← links)
- Mathematical analysis of different approaches for replicating portfolios (Q906588) (← links)
- Numerical methods for Lévy processes (Q964687) (← links)
- Fast and accurate pricing of barrier options under Lévy processes (Q964690) (← links)
- A fast Fourier transform technique for pricing American options under stochastic volatility (Q965893) (← links)
- Analytical approximations for the critical stock prices of American options: a performance comparison (Q965897) (← links)
- American option pricing under stochastic volatility: an efficient numerical approach (Q970136) (← links)
- American option pricing under stochastic volatility: an empirical evaluation (Q970137) (← links)
- Sequential Monte Carlo pricing of American-style options under stochastic volatility models (Q977632) (← links)
- Numerical solutions to dynamic portfolio problems: The case for value function iteration using Taylor approximation (Q1020548) (← links)
- On improving the least squares Monte Carlo option valuation method (Q1025618) (← links)
- Single name credit default swaptions meet single sided jump models (Q1025620) (← links)
- Hedged Monte-Carlo: low variance derivative pricing with objective probabilities (Q1591779) (← links)
- Statistical mechanics of financial markets: exponential modifications to Black-Scholes. (Q1597172) (← links)
- A four-factor stochastic volatility model of commodity prices (Q1621624) (← links)
- Pricing bounds for volatility derivatives via duality and least squares Monte Carlo (Q1626511) (← links)
- Using forward Monte-Carlo simulation for the valuation of American barrier options (Q1639295) (← links)
