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Pricing Bermudan options by nonparametric regression: optimal rates of convergence for lower estimates
15 references·10 citing·34 second hop
Pricing Bermudan options by nonparametric regression: optimal rates of convergence for lower estimates (2010)Pricing Bermudan options by nonparametric…Introduction to Stochastic Calculus Applied to Finance (2011)Introduction to Stochastic Ca…PRICING OF HIGH-DIMENSIONAL AMERICAN OPTIONS BY NEURAL NETWORKS (2010)PRICING OF HIGH-DIMENSIONAL A…TRUE UPPER BOUNDS FOR BERMUDAN PRODUCTS VIA NON‐NESTED MONTE CARLO (2009)TRUE UPPER BOUNDS FOR BERMUDA…A dynamic look-ahead Monte Carlo algorithm for pricing Bermudan options (2007)A dynamic look-ahead Monte Ca…Monte Carlo algorithms for optimal stopping and statistical learning (2005)Monte Carlo algorithms for op…Number of paths versus number of basis functions in American option pricing (2004)Number of paths versus number…Monte Carlo Methods in Financial Engineering (2003)Monte Carlo Methods in Financ…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…A simple approach to the pricing of Bermudan swaptions in the multifactor LIBOR market model (2000)A simple approach to the pric…Continuous Martingales and Brownian Motion (1999)Continuous Martingales and Br…Pricing American-style securities using simulation (1997)Pricing American-style securi…Valuation of the early-exercise price for options using simulations and nonparametric regression (1996)Valuation of the early-exerci…Continuous Martingales and Brownian Motion (1991)Continuous Martingales and Br…An improved least squares Monte Carlo valuation method based on heteroscedasticity (2017)An improved least squares Mon…The difference between LSMC and replicating portfolio in insurance liability modeling (2016)The difference between LSMC a…Solving optimal stopping problems via empirical dual optimization (2016)Solving optimal stopping prob…CONVERGENCE OF A LEAST‐SQUARES MONTE CARLO ALGORITHM FOR AMERICAN OPTION PRICING WITH DEPENDENT SAMPLE DATA (2016)CONVERGENCE OF A LEAST‐SQUARE…Sequential Design for Optimal Stopping Problems (2015)Sequential Design for Optimal…American options under stochastic volatility: control variates, maturity randomization & multiscale asymptotics (2015)American options under stocha…A PRIMAL–DUAL ALGORITHM FOR BSDES (2015)A PRIMAL–DUAL ALGORITHM FOR B…American Option Sensitivities Estimation via a Generalized Infinitesimal Perturbation Analysis Approach (2014)American Option Sensitivities…Multilevel dual approach for pricing American style derivatives (2013)Multilevel dual approach for …A Review on Regression-based Monte Carlo Methods for Pricing American Options (2010)A Review on Regression-based …Simulation Modeling and Analysis. (1983)Investment under Uncertainty (1994)Investment Under Uncertainty. (1994)Monte Carlo valuation of American options (2002)Measuring Market Risk (2005)A Re-Examination of Traditional Hypotheses about the Term Structure of Interest Rates (1981)Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations (2004)Pricing American Options: A Duality Approach (2004)The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)New frontiers for arch models (2002)Option Pricing Under a Double Exponential Jump Diffusion Model (2004)Theory of rational option pricing (2005)Martingales and arbitrage in multiperiod securities markets (1979)Pricing Interest-Rate-Derivative Securities (1990)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Forward Rate Volatilities, Swap Rate Volatilities, and Implementation of the LIBOR Market Model (2000)Monte Carlo Valuation of American Options through Computation of the Optimal Exercise Frontier (2004)After VaR: The Theory, Estimation, and Insurance Applications of Quantile‐Based Risk Measures (2006)The Generalized Hyperbolic Model: Estimation, Financial Derivatives, and Risk Measures (1999)Primal-Dual Simulation Algorithm for Pricing Multidimensional American Options (2004)Fluctuations of Lévy Processes with Applications (2014)Backward Stochastic Differential Equations in Finance (1997)The Variance Gamma Process and Option Pricing (1998)A General Version of the Fundamental Theorem of Asset Pricing (1994) (2008)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)A QUANTIZATION TREE METHOD FOR PRICING AND HEDGING MULTIDIMENSIONAL AMERICAN OPTIONS (2005)OPTIMAL MULTIPLE STOPPING AND VALUATION OF SWING OPTIONS (2008)A general version of the fundamental theorem of asset pricing (1994)Arbitrage Theory in Continuous Time (1998)Stock Return Characteristics, Skew Laws, and the Differential Pricing of Individual Equity Options (2003)
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References

  • 1999Continuous Martingales and Brownian Motion6,200 cited
  • 2003Monte Carlo Methods in Financial Engineering3,818 cited
  • 2001Valuing American Options by Simulation: A Simple Least-Squares Approach3,218 cited
  • 1991Continuous Martingales and Brownian Motion1,957 cited
  • 2011Introduction to Stochastic Calculus Applied to Finance639 cited
  • 1997Pricing American-style securities using simulation614 cited
  • 2001Regression methods for pricing complex American-style options612 cited
  • 1996Valuation of the early-exercise price for options using simulations and nonparametric regression517 cited
  • 2002An analysis of a least squares regression method for American option pricing342 cited
  • 2000A simple approach to the pricing of Bermudan swaptions in the multifactor LIBOR market model156 cited
  • 2004Number of paths versus number of basis functions in American option pricing151 cited
  • 2005Monte Carlo algorithms for optimal stopping and statistical learning130 cited
  • 2010PRICING OF HIGH-DIMENSIONAL AMERICAN OPTIONS BY NEURAL NETWORKS92 cited
  • 2009TRUE UPPER BOUNDS FOR BERMUDAN PRODUCTS VIA NON‐NESTED MONTE CARLO91 cited
  • 2007A dynamic look-ahead Monte Carlo algorithm for pricing Bermudan options

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64 cited

Cited by

  • 2013Multilevel dual approach for pricing American style derivatives41 cited
  • 2016The difference between LSMC and replicating portfolio in insurance liability modeling36 cited
  • 2015A PRIMAL–DUAL ALGORITHM FOR BSDES35 cited
  • 2010A Review on Regression-based Monte Carlo Methods for Pricing American Options35 cited
  • 2015Sequential Design for Optimal Stopping Problems31 cited
  • 2017An improved least squares Monte Carlo valuation method based on heteroscedasticity28 cited
  • 2015American options under stochastic volatility: control variates, maturity randomization & multiscale asymptotics26 cited
  • 2016CONVERGENCE OF A LEAST‐SQUARES MONTE CARLO ALGORITHM FOR AMERICAN OPTION PRICING WITH DEPENDENT SAMPLE DATA22 cited
  • 2014American Option Sensitivities Estimation via a Generalized Infinitesimal Perturbation Analysis Approach22 cited
  • 2016Solving optimal stopping problems via empirical dual optimization21 cited