Monte Carlo Methods for Pricing American Options
Author:
Publisher
Springer International Publishing
Link
https://link.springer.com/content/pdf/10.1007/978-3-031-10193-9_1
Reference43 articles.
1. Alòs, E., Lorite, D.G.: Malliavin Calculus in Finance: Theory and Practice. Chapman and Hall/CRC, Boca Raton, FL, USA (2021)
2. Bally, V., Caramellino, L., Zanette, A.: Pricing and hedging American options by Monte Carlo methods using a Malliavin calculus approach. Technical Report 4804, INRIA Rocquencourt, Domaine de Voluceau, Rocquencourt, BP 105, 78153 Le Chesnay Cedex, France (2004)
3. Bally, V., Caramellino, L., Zanette, A.: Pricing and hedging American options by Monte Carlo methods using a Malliavin calculus approach. Monte Carlo Methods Appl. 11(2), 97–133 (2005)
4. Becker, S., Cheridito, P., Jentzen, A.: Deep optimal stopping. J. Mach. Learn. Res. 20(74), 1–25 (2019)
5. Belomestny, D., Dickmann, F., Nagapetyan, T.: Pricing Bermudan options via multilevel approximation methods. SIAM J. Financ. Math. 6(1), 448–466 (2015)
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