A Review on Regression-based Monte Carlo Methods for Pricing American Options
Author:
Publisher
Physica-Verlag HD
Link
http://link.springer.com/content/pdf/10.1007/978-3-7908-2598-5_2.pdf
Reference29 articles.
1. Andersen, L., Broadie, M.: Primal-dual simulation algorithm for pricing multidimensional American options. Manag. Sci. 50, 1222–1234 (2004)
2. Belomestny, D.: Pricing Bermudan options using regression: optimal rates of convergence for lower estimates. Preprint (2009)
3. Belomestny, D., Bender, C., Schoenmakers, J.: True upper bounds for Bermudan products via non-nested Monte Carlo. Math. Finance 19, 53–71 (2009)
4. Carriér, J.: Valuation of early-exercise price of options using simulations and nonparametric regression. Insur. Math. Econ. 19, 19–30 (1996)
5. Chen, N., Glasserman, P.: Additive and multiplicative duals for American option pricing. Finance Stoch. 11, 153–179 (2007)
Cited by 27 articles. 订阅此论文施引文献 订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献
1. Model Risk in Financial Derivatives and The Transformative Impact of Deep Learning: A Systematic Review;Lecture Notes in Networks and Systems;2024
2. Statistical Machine Learning for Quantitative Finance;Annual Review of Statistics and Its Application;2023-03-10
3. Toward a unified implementation of regression Monte Carlo algorithms;Journal of Computational Finance;2023
4. Solving high-dimensional optimal stopping problems using deep learning;European Journal of Applied Mathematics;2021-04-27
5. Deep neural network framework based on backward stochastic differential equations for pricing and hedging American options in high dimensions;Quantitative Finance;2020-09-08
1.学者识别学者识别
2.学术分析学术分析
3.人才评估人才评估
"同舟云学术"是以全球学者为主线，采集、加工和组织学术论文而形成的新型学术文献查询和分析系统，可以对全球学者进行文献检索和人才价值评估。用户可以通过关注某些学科领域的顶尖人物而持续追踪该领域的学科进展和研究前沿。经过近期的数据扩容，当前同舟云学术共收录了国内外主流学术期刊6万余种，收集的期刊论文及会议论文总量共计约1.5亿篇，并以每天添加12000余篇中外论文的速度递增。我们也可以为用户提供个性化、定制化的学者数据。欢迎来电咨询！咨询电话：010-8811{复制后删除}0370
www.globalauthorid.com
TOP
Copyright © 2019-2024 北京同舟云网络信息技术有限公司 京公网安备11010802033243号 京ICP备18003416号-3