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MONTE CARLO EVALUATION OF AMERICAN OPTIONS USING CONSUMPTION PROCESSES
16 references·1 citing·27 second hop
MONTE CARLO EVALUATION OF AMERICAN OPTIONS USING CONSUMPTION PROCESSES (2006)MONTE CARLO EVALUATION OF AMERICAN OPTION…Iterative construction of the optimal Bermudan stopping time (2005)Iterative construction of the…A QUANTIZATION TREE METHOD FOR PRICING AND HEDGING MULTIDIMENSIONAL AMERICAN OPTIONS (2005)A QUANTIZATION TREE METHOD FO…Primal-Dual Simulation Algorithm for Pricing Multidimensional American Options (2004)Primal-Dual Simulation Algori…Pricing American Options: A Duality Approach (2004)Pricing American Options: A D…Monte Carlo Methods in Financial Engineering (2003)Monte Carlo Methods in Financ…Monte Carlo valuation of American options (2002)Monte Carlo valuation of Amer…An analysis of a least squares regression method for American option pricing (2002)An analysis of a least square…Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Valuing American Options by S…Regression methods for pricing complex American-style options (2001)Regression methods for pricin…Essentials of Stochastic Finance (1999)Essentials of Stochastic Fina…Pricing American-style securities using simulation (1997)Pricing American-style securi…Numerical Methods in Finance (1997)Numerical Methods in FinanceMonte Carlo methods for security pricing (1997)Monte Carlo methods for secur…Enhanced Monte Carlo Estimates for American Option Prices (1997)Enhanced Monte Carlo Estimate…Valuation of the early-exercise price for options using simulations and nonparametric regression (1996)Valuation of the early-exerci…Numerical Valuation of High Dimensional Multivariate American Securities (1995)Numerical Valuation of High D…Representations for Optimal Stopping under Dynamic Monetary Utility Functionals (2010)Representations for Optimal S…Simulation Modeling and Analysis. (1983)Investment under Uncertainty (1994)Investment Under Uncertainty. (1994)LIBOR and swap market models and measures (1997)A Comparison of Three Methods for Selecting Values of Input Variables in the Analysis of Output from a Computer Code (2000)A Jump-Diffusion Model for Option Pricing (2002)Option Pricing Under a Double Exponential Jump Diffusion Model (2004)A Re-Examination of Traditional Hypotheses about the Term Structure of Interest Rates (1981)A Hilbert space proof of the fundamental theorem of asset pricing in finite discrete time (1992)Valuing American Options in a Path Simulation Model (2002)The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)New frontiers for arch models (2002)Theory of rational option pricing (2005)Options: A Monte Carlo approach (1977)Option pricing: A simplified approach (1979)A stochastic mesh method for pricing high-dimensional American options (2004)Information Relaxations and Duality in Stochastic Dynamic Programs (2010)Martingales and arbitrage in multiperiod securities markets (1979)Learning to trade via direct reinforcement (2001)Optimization under uncertainty: state-of-the-art and opportunities (2003)Dynamic Asset Pricing Theory. (1993)Multilevel Monte Carlo Path Simulation (2008)Can Time‐Varying Risk of Rare Disasters Explain Aggregate Stock Market Volatility? (2013)Simulation Modeling and Analysis (2016)A Monte Carlo Method for Optimal Portfolios (2003)Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations (2004)
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References

  • 2003Monte Carlo Methods in Financial Engineering3,917 cited
  • 2001Valuing American Options by Simulation: A Simple Least-Squares Approach3,228 cited
  • 1997Monte Carlo methods for security pricing856 cited
  • 1997Pricing American-style securities using simulation614 cited
  • 2001Regression methods for pricing complex American-style options612 cited
  • 2002Monte Carlo valuation of American options554 cited
  • 1996Valuation of the early-exercise price for options using simulations and nonparametric regression517 cited
  • 2004Pricing American Options: A Duality Approach459 cited
  • 2004Primal-Dual Simulation Algorithm for Pricing Multidimensional American Options420 cited
  • 2002An analysis of a least squares regression method for American option pricing344 cited
  • 1995Numerical Valuation of High Dimensional Multivariate American Securities325 cited
  • 1997Numerical Methods in Finance206 cited
  • 2005A QUANTIZATION TREE METHOD FOR PRICING AND HEDGING MULTIDIMENSIONAL AMERICAN OPTIONS192 cited
  • 1999Essentials of Stochastic Finance134 cited
  • 1997Enhanced Monte Carlo Estimates for American Option Prices113 cited

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2005
Iterative construction of the optimal Bermudan stopping time
74 cited

Cited by

  • 2010Representations for Optimal Stopping under Dynamic Monetary Utility Functionals18 cited