Citation map · Study

SZodixStudyAcademic Library

Shelves Open access

Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated

Pricing American Options by Simulation Using a Stochastic Mesh with Optimized Weights

9 references·5 citing·38 second hopsampled

FromToDepth

this work references cited by second hop· second hop is a sample of the most-cited connections

References

2001Valuing American Options by Simulation: A Simple Least-Squares Approach3,228 cited
1997Pricing American-style securities using simulation614 cited
1996Valuation of the early-exercise price for options using simulations and nonparametric regression517 cited
2004A stochastic mesh method for pricing high-dimensional American options356 cited
1999Optimal stopping of Markov processes: Hilbert space theory, approximation algorithms, and an application to pricing high-dimensional financial derivatives326 cited
1995Numerical Valuation of High Dimensional Multivariate American Securities325 cited
1997Calibrating volatility surfaces via relative-entropy minimization249 cited
2000A simple approach to the pricing of Bermudan swaptions in the multifactor LIBOR market model156 cited
1997Enhanced Monte Carlo Estimates for American Option Prices113 cited

Cited by

2006An iterative method for multiple stopping: convergence and stability37 cited
2005Large Sample Properties of Weighted Monte Carlo Estimators34 cited
2012Pricing high-dimensional Bermudan options using the stochastic grid method31 cited
2001Valuation of the Reset Options Embedded in Some Equity-Linked Insurance Products24 cited
2010Naïve learning algorithms utilized for the prediction of stock prices to compare economic models of decision making

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

1 cited