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Efficiency improvements for pricing American options with a stochastic mesh
5 references·2 citing·31 second hop
Efficiency improvements for pricing American options with a stochastic mesh (1999)Efficiency improvements for pricing Ameri…A stochastic mesh method for pricing high-dimensional American options (2004)A stochastic mesh method for …Valuing American Options in a Path Simulation Model (2002)Valuing American Options in a…Asymptotically Optimal Importance Sampling and Stratification for Pricing Path‐Dependent Options (1999)Asymptotically Optimal Import…Pricing American-style securities using simulation (1997)Pricing American-style securi…A Sotchastic Mesh Method for Pricing High-Dimensional American Options (1997)A Sotchastic Mesh Method for …A study of variance reduction techniques for American option pricing (2005)A study of variance reduction…Using simulation for option pricing (2002)Using simulation for option p…Numerical Methods in Economics (1998)Optimal stopping of Markov processes: Hilbert space theory, approximation algorithms, and an application to pricing high-dimensional financial derivatives (1999)Optimal Portfolio Choice and the Valuation of Illiquid Securities (2001)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Monte Carlo Methods in Financial Engineering (2003)ANNIVERSARY ARTICLE: Option Pricing: Valuation Models and Applications (2004)Simulation Modeling and Analysis. (1983)Investment under Uncertainty (1994)Investment Under Uncertainty. (1994)Regression methods for pricing complex American-style options (2001)Monte Carlo valuation of American options (2002)Measuring Market Risk (2005)Option pricing: A simplified approach (1979)Pricing Interest-Rate-Derivative Securities (1990)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)American option pricing under GARCH by a Markov chain approximation (2001)Pricing American options: a comparison of Monte Carlo simulation approaches (2001)Convergence of the Least Squares Monte Carlo Approach to American Option Valuation (2004)A Theory of the Term Structure of Interest Rates (1985)A Comparison of Three Methods for Selecting Values of Input Variables in the Analysis of Output from a Computer Code (2000)Variance Reduction Techniques for Estimating Value-at-Risk (2000)Chapter 11 Rare-Event Simulation Techniques: An Introduction and Recent Advances (2006)Rare events, splitting, and quasi-Monte Carlo (2007)Numerical solution of stochastic differential equations (2016)The Pricing of Options and Corporate Liabilities (1973)Real options valuation (2007)“Options, Futures, and Other Derivatives” (2016)Dynamic Asset Pricing Theory. (1993)The random-time binomial model (1999)Valuation of segregated funds: shout options with maturity extensions (2001)A Dynamic Programming Procedure for Pricing American-Style Asian Options (2002)
this work references cited by second hop

References

  • 1997Pricing American-style securities using simulation614 cited
  • 2004A stochastic mesh method for pricing high-dimensional American options356 cited
  • 2002Valuing American Options in a Path Simulation Model279 cited
  • 1999Asymptotically Optimal Importance Sampling and Stratification for Pricing Path‐Dependent Options219 cited
  • 1997A Sotchastic Mesh Method for Pricing High-Dimensional American Options65 cited

Cited by

  • 2002Using simulation for option pricing34 cited
  • 2005A study of variance reduction techniques for American option pricing25 cited

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