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Iterative construction of the optimal Bermudan stopping time
11 references·8 citing·33 second hop
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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
  • 1993Dynamic Asset Pricing Theory.2,891 cited
  • 1997LIBOR and swap market models and measures746 cited
  • 2002Monte Carlo valuation of American options554 cited
  • 2004Pricing American Options: A Duality Approach452 cited
  • 2004Primal-Dual Simulation Algorithm for Pricing Multidimensional American Options420 cited
  • 2004A stochastic mesh method for pricing high-dimensional American options356 cited
  • 1999Mathematics of Financial Markets338 cited
  • 2003A quantization algorithm for solving multidimensional discrete-time optimal stopping problems213 cited
  • 2012Volatility and Correlation117 cited

Cited by

  • 2020Pricing and Hedging American-Style Options with Deep Learning69 cited
  • 2007Additive and multiplicative duals for American option pricing66 cited
  • 2010Regression Methods for Stochastic Control Problems and Their Convergence Analysis55 cited
  • 2007The duality of optimal exercise and domineering claims: a Doob–Meyer decomposition approach to the Snell envelope

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51 cited
  • 2013Multilevel dual approach for pricing American style derivatives41 cited
  • 2006An iterative method for multiple stopping: convergence and stability37 cited
  • 2010A pure martingale dual for multiple stopping35 cited
  • 2013Optimal Dual Martingales, Their Analysis, and Application to New Algorithms for Bermudan Products35 cited