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An improved simulation method for pricing high-dimensional American derivatives
5 references·0 citing·26 second hop
An improved simulation method for pricing high-dimensional American derivatives (2003)An improved simulation method for pricing…A stochastic mesh method for pricing high-dimensional American options (2004)A stochastic mesh method for …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 …Numerical Evaluation of Multivariate Contingent Claims (1989)Numerical Evaluation of Multi…Option pricing: A simplified approach (1979)Option pricing: A simplified …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)The valuation of options for alternative stochastic processes (1976)Martingales and arbitrage in multiperiod securities markets (1979)Jump Diffusion Option Valuation in Discrete Time (1993)Numerical Valuation of High Dimensional Multivariate American Securities (1995)Resource relatedness, redeployability, and firm value (2013)The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)Martingales and stochastic integrals in the theory of continuous trading (1981)Evaluating Natural Resource Investments (1985)Irreversibility, Uncertainty, and Investment (1990)Theory of rational option pricing (2005)Efficiency improvements for pricing American options with a stochastic mesh (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

  • 1979Option pricing: A simplified approach6,103 cited
  • 1997Pricing American-style securities using simulation614 cited
  • 2004A stochastic mesh method for pricing high-dimensional American options356 cited
  • 1989Numerical Evaluation of Multivariate Contingent Claims335 cited
  • 1997A Sotchastic Mesh Method for Pricing High-Dimensional American Options65 cited

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