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Multilevel dual approach for pricing American style derivatives
16 references·3 citing·31 second hop
Multilevel dual approach for pricing American style derivatives (2013)Multilevel dual approach for pricing Amer…Pathwise Optimization for Optimal Stopping Problems (2012)Pathwise Optimization for Opt…Pricing Bermudan options by nonparametric regression: optimal rates of convergence for lower estimates (2010)Pricing Bermudan options by n…TRUE UPPER BOUNDS FOR BERMUDAN PRODUCTS VIA NON‐NESTED MONTE CARLO (2009)TRUE UPPER BOUNDS FOR BERMUDA…Multilevel Monte Carlo Path Simulation (2008)Multilevel Monte Carlo Path S…Improved lower and upper bound algorithms for pricing American options by simulation (2008)Improved lower and upper boun…Additive and multiplicative duals for American option pricing (2007)Additive and multiplicative d…Iterative construction of the optimal Bermudan stopping time (2005)Iterative construction of the…Primal-Dual Simulation Algorithm for Pricing Multidimensional American Options (2004)Primal-Dual Simulation Algori…Pricing American Options: A Duality Approach (2004)Pricing American Options: A D…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…A quantization algorithm for solving multidimensional discrete-time optimal stopping problems (2003)A quantization algorithm for …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…Regression methods for pricing complex American-style options (2001)Regression methods for pricin…Valuation of the early-exercise price for options using simulations and nonparametric regression (1996)Valuation of the early-exerci…A PRIMAL–DUAL ALGORITHM FOR BSDES (2015)A PRIMAL–DUAL ALGORITHM FOR B…Multilevel Simulation of Functionals of Bernoulli Random Variables with Application to Basket Credit Derivatives (2013)Multilevel Simulation of Func…Multilevel Monte Carlo Methods (2013)Multilevel Monte Carlo MethodsNumerical 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)Backward Stochastic Differential Equations in Finance (1997)Stochastic Differential Equations (2003)Optimal Quantization Methods and Applications to Numerical Problems in Finance (2004)A QUANTIZATION TREE METHOD FOR PRICING AND HEDGING MULTIDIMENSIONAL AMERICAN OPTIONS (2005)OPTIMAL MULTIPLE STOPPING AND VALUATION OF SWING OPTIONS (2008)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-style securities using simulation (1997)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)Options: A Monte Carlo approach (1977)Option pricing: A simplified approach (1979)Information Relaxations and Duality in Stochastic Dynamic Programs (2010)Martingales and arbitrage in multiperiod securities markets (1979)An analysis of a least squares regression method for American option pricing (2002)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Multi-level Monte Carlo Finite Element method for elliptic PDEs with stochastic coefficients (2011)Strong convergence of an explicit numerical method for SDEs with nonglobally Lipschitz continuous coefficients (2012)Numerical solution of stochastic differential equations (2016)Optimal Model Management for Multifidelity Monte Carlo Estimation (2016)Dynamic Asset Pricing Theory. (1993)Markov Perfect Industry Dynamics with Many Firms (2005)Can Time‐Varying Risk of Rare Disasters Explain Aggregate Stock Market Volatility? (2013)Simulation Modeling and Analysis (2016)
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References

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  • 2001Valuing American Options by Simulation: A Simple Least-Squares Approach3,218 cited
  • 2008Multilevel Monte Carlo Path Simulation1,436 cited
  • 2001Regression methods for pricing complex American-style options612 cited
  • 2002Monte Carlo valuation of American options554 cited
  • 1996Valuation of the early-exercise price for options using simulations and nonparametric regression517 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
  • 2003A quantization algorithm for solving multidimensional discrete-time optimal stopping problems213 cited
  • 2008Improved lower and upper bound algorithms for pricing American options by simulation100 cited
  • 2009TRUE UPPER BOUNDS FOR BERMUDAN PRODUCTS VIA NON‐NESTED MONTE CARLO91 cited
  • 2012Pathwise Optimization for Optimal Stopping Problems87 cited
  • 2005Iterative construction of the optimal Bermudan stopping time74 cited
  • 2007Additive and multiplicative duals for American option pricing

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66 cited
  • 2010Pricing Bermudan options by nonparametric regression: optimal rates of convergence for lower estimates61 cited
  • Cited by

    • 2015A PRIMAL–DUAL ALGORITHM FOR BSDES35 cited
    • 2013Multilevel Simulation of Functionals of Bernoulli Random Variables with Application to Basket Credit Derivatives34 cited
    • 2013Multilevel Monte Carlo Methods33 cited