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Simulation for American Options: Regression Now or Regression Later?

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References

2003Monte Carlo Methods in Financial Engineering3,917 cited
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1996Valuation of the early-exercise price for options using simulations and nonparametric regression517 cited
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2004A stochastic mesh method for pricing high-dimensional American options356 cited
2002An analysis of a least squares regression method for American option pricing344 cited
1998Minimum-Relative-Entropy Calibration of Asset-Pricing Models132 cited
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2014Comparison of Least Squares Monte Carlo Methods with Applications to Energy Real Options83 cited
2016The difference between LSMC and replicating portfolio in insurance liability modeling36 cited
2015A PRIMAL–DUAL ALGORITHM FOR BSDES35 cited
2012Pricing high-dimensional Bermudan options using the stochastic grid method31 cited
2022

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A machine learning approach to portfolio pricing and risk management for high‐dimensional problems

21 cited

2019Machine Learning With Kernels for Portfolio Valuation and Risk Management18 cited

2019Pricing and Exercising American Options: an Asymptotic Expansion Approach17 cited

2013Fast Convergence of Regress-Later Estimates in Least Squares Monte Carlo17 cited

2020Pricing high-dimensional American options by kernel ridge regression15 cited

2021Nested Monte Carlo simulation in financial reporting: a review and a new hybrid approach15 cited