Function-Approximation-Based Importance Sampling for Pricing American Options
Author:
Publisher
IEEE
Link
http://xplorestaging.ieee.org/ielx5/9441/29988/01371367.pdf?arnumber=1371367
Cited by 8 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. AMERICAN OPTION PRICING WITH REGRESSION: CONVERGENCE ANALYSIS;International Journal of Theoretical and Applied Finance;2019-12
2. Effective sub-simulation-free upper bounds for the Monte Carlo pricing of callable derivatives and various improvements to existing methodologies;Journal of Economic Dynamics and Control;2014-03
3. Zero-Variance Importance Sampling Estimators for Markov Process Expectations;Mathematics of Operations Research;2013-05
4. Improved Sub-Simulation-Free Upper Bounds for the Monte Carlo Pricing of Callable Derivatives and Various Improvements to Existing Methodologies;SSRN Electronic Journal;2012
5. Additive and multiplicative duals for American option pricing;Finance and Stochastics;2007-01-10
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