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Simulation for American Options: Regression Now or Regression Later? · Study

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ChapterSimulation for American Options: Regression Now or Regression Later?

Paul Glasserman2004

Chapter2004

Simulation for American Options: Regression Now or Regression Later?

Paul Glasserman · Bin Yu

84 citations·0/0 files stored·Springer eBooks

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Stochastic processes and financial applications Simulation Techniques and Applications Mathematical Approximation and Integration

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References

2003Monte Carlo Methods in Financial Engineering 2001Valuing American Options by Simulation: A Simple Least-Squares Approach 2001Regression methods for pricing complex American-style options 2002Monte Carlo valuation of American options 1996Valuation of the early-exercise price for options using simulations and nonparametric regression 2004Pricing American Options: A Duality Approach 2004A stochastic mesh method for pricing high-dimensional American options 2002An analysis of a least squares regression method for American option pricing

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2014Comparison of Least Squares Monte Carlo Methods with Applications to Energy Real Options 2016The difference between LSMC and replicating portfolio in insurance liability modeling 2015A PRIMAL–DUAL ALGORITHM FOR BSDES 2012Pricing high-dimensional Bermudan options using the stochastic grid method 2022A machine learning approach to portfolio pricing and risk management for high‐dimensional problems

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2004Number of paths versus number of basis functions in American option pricingarticle · 8 shared references 2010Regression Methods for Stochastic Control Problems and Their Convergence Analysisarticle · 8 shared references 2009An efficient implementation of a least squares Monte Carlo method for valuing American-style optionsarticle · 8 shared references 2009Optimal stopping and American optionsarticle · 8 shared references 2004Primal-Dual Simulation Algorithm for Pricing Multidimensional American Optionsarticle · 7 shared references 2004ANNIVERSARY ARTICLE: Option Pricing: Valuation Models and Applicationsarticle · 7 shared references

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Year2004

Typechapter

Published2004-01-01

VenueSpringer eBooks

Languageen

Citations84

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1007/978-3-642-18743-8_12

openalex_workW1574206118

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2019

Machine Learning With Kernels for Portfolio Valuation and Risk Management

2019Pricing and Exercising American Options: an Asymptotic Expansion Approach

2013Fast Convergence of Regress-Later Estimates in Least Squares Monte Carlo