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A Probabilistic Numerical Method for Optimal Multiple Switching Problems in High Dimension
16 references·0 citing·33 second hop
A Probabilistic Numerical Method for Optimal Multiple Switching Problems in High Dimension (2014)A Probabilistic Numerical Method for Opti…Numerical solution of stochastic differential equations (2016)Numerical solution of stochas…A Survey of Commodity Markets and Structural Models for Electricity Prices (2013)A Survey of Commodity Markets…Monte-Carlo Valuation of American Options: Facts and New Algorithms to Improve Existing Methods (2012)Monte-Carlo Valuation of Amer…Multi-dimensional BSDE with oblique reflection and optimal switching (2009)Multi-dimensional BSDE with o…Rate of convergence of an empirical regression method for solving generalized backward stochastic differential equations (2006)Rate of convergence of an emp…A regression-based Monte Carlo method to solve backward stochastic differential equations (2005)A regression-based Monte Carl…Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations (2004)Discrete-time approximation a…Equilibrium Investment Strategies and Output Price Behavior: A Real-Options Approach (2003)Equilibrium Investment Strate…A Multi-Stage Stochastic Integer Programming Approach for Capacity Expansion under Uncertainty (2003)A Multi-Stage Stochastic Inte…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…Continuous Martingales and Brownian Motion (1999)Continuous Martingales and Br…Valuation of the early-exercise price for options using simulations and nonparametric regression (1996)Valuation of the early-exerci…Investment Under Uncertainty. (1994)Investment Under Uncertainty.The Value of Waiting to Invest (1982)The Value of Waiting to InvestThéorie de la spéculation (1900)Théorie de la spéculationCapital Theory and Investment Behavior (1963)Option pricing when underlying stock returns are discontinuous (1976)Irreversibility, Uncertainty, and Cyclical Investment (1980)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Joint Ventures and the Option to Expand and Acquire (1991)Operating Flexibility, Global Manufacturing, and the Option Value of a Multinational Network (1994)Adapted solution of a backward stochastic differential equation (1990)Backward Stochastic Differential Equations in Finance (1997)Second‐order backward stochastic differential equations and fully nonlinear parabolic PDEs (2006)A forward scheme for backward SDEs (2007)Machine Learning Approximation Algorithms for High-Dimensional Fully Nonlinear Partial Differential Equations and Second-order Backward Stochastic Differential Equations (2019)A Re-Examination of Traditional Hypotheses about the Term Structure of Interest Rates (1981)Pricing American Options: A Duality Approach (2004)Primal-Dual Simulation Algorithm for Pricing Multidimensional American Options (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)An analysis of a least squares regression method for American option pricing (2002)Brownian Motion and Stochastic Calculus (2007)The Variance Gamma Process and Option Pricing (1998)A General Version of the Fundamental Theorem of Asset Pricing (1994) (2008)Martingale Methods in Financial Modelling (1997)Alternative models for stock price dynamics (2003)Multilevel Monte Carlo Path Simulation (2008)The Stochastic Behavior of Commodity Prices: Implications for Valuation and Hedging (1997)The Value Premium (2005)Policy Uncertainty and Corporate Investment (2015)Scaling behaviour in the dynamics of an economic index (1995)5 Stochastic volatility (1996)An Introduction to Econophysics: Correlations and Complexity in Finance (2000)
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References

  • 1994Investment Under Uncertainty.9,497 cited
  • 1999Continuous Martingales and Brownian Motion6,200 cited
  • 2016Numerical solution of stochastic differential equations5,001 cited
  • 1982The Value of Waiting to Invest3,606 cited
  • 2001Valuing American Options by Simulation: A Simple Least-Squares Approach3,218 cited
  • 1900Théorie de la spéculation2,605 cited
  • 2001Regression methods for pricing complex American-style options612 cited
  • 2004Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations518 cited
  • 1996Valuation of the early-exercise price for options using simulations and nonparametric regression517 cited
  • 2005A regression-based Monte Carlo method to solve backward stochastic differential equations412 cited
  • 2003A Multi-Stage Stochastic Integer Programming Approach for Capacity Expansion under Uncertainty328 cited
  • 2006Rate of convergence of an empirical regression method for solving generalized backward stochastic differential equations171 cited
  • 2003Equilibrium Investment Strategies and Output Price Behavior: A Real-Options Approach138 cited
  • 2009Multi-dimensional BSDE with oblique reflection and optimal switching133 cited
  • 2012

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Monte-Carlo Valuation of American Options: Facts and New Algorithms to Improve Existing Methods
101 cited
  • 2013A Survey of Commodity Markets and Structural Models for Electricity Prices100 cited
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