SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
A STATE‐SPACE PARTITIONING METHOD FOR PRICING HIGH‐DIMENSIONAL AMERICAN‐STYLE OPTIONS
16 references·0 citing·32 second hop
A STATE‐SPACE PARTITIONING METHOD FOR PRICING HIGH‐DIMENSIONAL AMERICAN‐STYLE OPTIONS (2007)A STATE‐SPACE PARTITIONING METHOD FOR PRI…Monte Carlo Valuation of American Options through Computation of the Optimal Exercise Frontier (2004)Monte Carlo Valuation of Amer…A stochastic mesh method for pricing high-dimensional American options (2004)A stochastic mesh method for …Monte Carlo Methods in Financial Engineering (2003)Monte Carlo Methods in Financ…Error analysis of the optimal quantization algorithm for obstacle problems (2003)Error analysis of the optimal…Valuing American Options in a Path Simulation Model (2002)Valuing American Options in a…Monte Carlo valuation of American options (2002)Monte Carlo valuation of Amer…Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Valuing American Options by S…Pricing American options: a comparison of Monte Carlo simulation approaches (2001)Pricing American options: a c…Pricing American-style securities using simulation (1997)Pricing American-style securi…Monte Carlo methods for security pricing (1997)Monte Carlo methods for secur…Mathematics of Derivative Securities (1997)Mathematics of Derivative Sec…Quasi-Monte Carlo Methods in Numerical Finance (1996)Quasi-Monte Carlo Methods in …Numerical dynamic programming in economics (1996)Numerical dynamic programming…Handbook of Computational Economics (1996)Handbook of Computational Eco…Numerical Valuation of High Dimensional Multivariate American Securities (1995)Numerical Valuation of High D…Options: A Monte Carlo approach (1977)Options: A Monte Carlo approa…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)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)Measuring Market Risk (2005)A Comparison of Three Methods for Selecting Values of Input Variables in the Analysis of Output from a Computer Code (2000)Option Pricing Under a Double Exponential Jump Diffusion Model (2004)The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)Option Pricing when the Variance Changes Randomly: Theory, Estimation, and an Application (1987)THE GARCH OPTION PRICING MODEL (1995)Theory of rational option pricing (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)Convergence of the Least Squares Monte Carlo Approach to American Option Valuation (2004)Multigrid for American option pricing with stochastic volatility (1999)Brownian Motion and Stochastic Calculus (2007)Computational Methods for the Study of Dynamic Economies (2001)Estimating dynamic equilibrium economies: linear versus nonlinear likelihood (2005)Computable Markov-perfect industry dynamics (2010)Multilevel Monte Carlo Path Simulation (2008)Can Time‐Varying Risk of Rare Disasters Explain Aggregate Stock Market Volatility? (2013)Simulation Modeling and Analysis (2016)Pricing American Options: A Duality Approach (2004)Primal-Dual Simulation Algorithm for Pricing Multidimensional American Options (2004)New frontiers for arch models (2002)
this work references cited by second hop

References

  • 2003Monte Carlo Methods in Financial Engineering3,818 cited
  • 2001Valuing American Options by Simulation: A Simple Least-Squares Approach3,218 cited
  • 1977Options: A Monte Carlo approach1,341 cited
  • 1997Monte Carlo methods for security pricing856 cited
  • 1997Pricing American-style securities using simulation614 cited
  • 2002Monte Carlo valuation of American options554 cited
  • 2004A stochastic mesh method for pricing high-dimensional American options356 cited
  • 1995Numerical Valuation of High Dimensional Multivariate American Securities325 cited
  • 2002Valuing American Options in a Path Simulation Model279 cited
  • 1996Handbook of Computational Economics253 cited
  • 1996Quasi-Monte Carlo Methods in Numerical Finance243 cited
  • 1996Numerical dynamic programming in economics242 cited
  • 2001Pricing American options: a comparison of Monte Carlo simulation approaches163 cited
  • 1997Mathematics of Derivative Securities150 cited
  • 2004Monte Carlo Valuation of American Options through Computation of the Optimal Exercise Frontier143 cited
  • 2003Error analysis of the optimal quantization algorithm for obstacle problems

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

105 cited

Cited by

No citing works inside the corpus for this window.