Regression-Based Complexity Reduction of the Nested Monte Carlo Methods
Author:
Publisher
Society for Industrial & Applied Mathematics (SIAM)
Subject
Applied Mathematics,Finance,Numerical Analysis
Link
https://epubs.siam.org/doi/pdf/10.1137/17M114577X
Reference15 articles.
1. Primal-Dual Simulation Algorithm for Pricing Multidimensional American Options
2. TRUE UPPER BOUNDS FOR BERMUDAN PRODUCTS VIA NON-NESTED MONTE CARLO
3. Regression methods in pricing American and Bermudan options using consumption processes
4. MONTE CARLO EVALUATION OF AMERICAN OPTIONS USING CONSUMPTION PROCESSES
5. Multilevel dual approach for pricing American style derivatives
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