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An irregular grid approach for pricing high-dimensional American options
16 references·0 citing·32 second hop
An irregular grid approach for pricing high-dimensional American options (2007)An irregular grid approach for pricing hi…Pricing American Options: A Duality Approach (2004)Pricing American Options: A D…Convergence of the Least Squares Monte Carlo Approach to American Option Valuation (2004)Convergence of the Least Squa…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…Monte Carlo valuation of American options (2002)Monte Carlo valuation of Amer…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…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…Numerical Valuation of High Dimensional Multivariate American Securities (1995)Numerical Valuation of High D…Numerical Methods for Stochastic Control Problems in Continuous Time (1992)Numerical Methods for Stochas…Variational inequalities and the pricing of American options (1990)Variational inequalities and …Numerical Methods for Stochastic Control Problems in Continuous Time (1990)Numerical Methods for Stochas…Numerical Evaluation of Multivariate Contingent Claims (1989)Numerical Evaluation of Multi…Simulation Modeling and Analysis. (1983)Investment under Uncertainty (1994)Investment Under Uncertainty. (1994)LIBOR and swap market models and measures (1997)MULTI-DIMENSIONAL DIFFUSION PROCESSES (1980)Stochastic differential equations with reflecting boundary conditions (1984)Martingale Methods in Financial Modelling (1997)An introduction to stochastic partial differential equations (2006)Dynamic modeling and control of supply chain systems: A review (2007)Menu Costs and Phillips Curves (2007)A Comparison of Three Methods for Selecting Values of Input Variables in the Analysis of Output from a Computer Code (2000)A Jump-Diffusion Model for Option Pricing (2002)Option Pricing Under a Double Exponential Jump Diffusion Model (2004)The Pricing of Options and Corporate Liabilities (1973)Martingales and stochastic integrals in the theory of continuous trading (1981)Foreign currency option values (1983)ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS (1992)American Option Valuation: New Bounds, Approximations, and a Comparison of Existing Methods (1996)Partial Differential Equations (2010)Valuation of the early-exercise price for options using simulations and nonparametric regression (1996)Primal-Dual Simulation Algorithm for Pricing Multidimensional American Options (2004)Theory of Rational Option Pricing (1973)New frontiers for arch models (2002)Theory of rational option pricing (2005)Martingales and arbitrage in multiperiod securities markets (1979)Learning to trade via direct reinforcement (2001)Optimization under uncertainty: state-of-the-art and opportunities (2003)Dynamic Asset Pricing Theory. (1993)Multilevel Monte Carlo Path Simulation (2008)Can Time‐Varying Risk of Rare Disasters Explain Aggregate Stock Market Volatility? (2013)Simulation Modeling and Analysis (2016)Investment Shocks and Asset Prices (2011)
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References

  • 2003Monte Carlo Methods in Financial Engineering3,917 cited
  • 2001Valuing American Options by Simulation: A Simple Least-Squares Approach3,228 cited
  • 1990Numerical Methods for Stochastic Control Problems in Continuous Time1,421 cited
  • 1997Monte Carlo methods for security pricing856 cited
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  • 2001Regression methods for pricing complex American-style options612 cited
  • 2002Monte Carlo valuation of American options554 cited
  • 2004Pricing American Options: A Duality Approach459 cited
  • 1990Variational inequalities and the pricing of American options424 cited
  • 2004A stochastic mesh method for pricing high-dimensional American options356 cited
  • 2002An analysis of a least squares regression method for American option pricing344 cited
  • 1989Numerical Evaluation of Multivariate Contingent Claims335 cited
  • 1995Numerical Valuation of High Dimensional Multivariate American Securities325 cited
  • 2004Convergence of the Least Squares Monte Carlo Approach to American Option Valuation183 cited

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  • 2001Pricing American options: a comparison of Monte Carlo simulation approaches163 cited
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