SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
A study of variance reduction techniques for American option pricing
10 references·1 citing·36 second hop
A study of variance reduction techniques for American option pricing (2005)A study of variance reduction techniques …Pricing American Options: A Duality Approach (2004)Pricing American Options: A D…Monte Carlo Methods in Financial Engineering (2003)Monte Carlo Methods in Financ…Importance sampling in derivative securities pricing (2002)Importance sampling in deriva…Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Valuing American Options by S…Efficiency improvements for pricing American options with a stochastic mesh (1999)Efficiency improvements for p…Asymptotically Optimal Importance Sampling and Stratification for Pricing Path‐Dependent Options (1999)Asymptotically Optimal Import…Accelerated simulation for pricing Asian options (1998)Accelerated simulation for pr…A Sotchastic Mesh Method for Pricing High-Dimensional American Options (1997)A Sotchastic Mesh Method for …Dynamic Asset Pricing Theory. (1993)Dynamic Asset Pricing Theory.A pricing method for options based on average asset values (1990)A pricing method for options …Refining the Least Squares Monte Carlo Method by Imposing Structure (2012)Refining the Least Squares Mo…Pricing American-style securities using simulation (1997)Using simulation for option pricing (2002)Valuing American Options in a Path Simulation Model (2002)A stochastic mesh method for pricing high-dimensional American options (2004)The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)A Quick Algorithm for Pricing European Average Options (1991)BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES (1993)The value of an Asian option (1995)Theory of rational option pricing (2005)A Theory of the Term Structure of Interest Rates (1985)A Comparison of Three Methods for Selecting Values of Input Variables in the Analysis of Output from a Computer Code (2000)Variance Reduction Techniques for Estimating Value-at-Risk (2000)Chapter 11 Rare-Event Simulation Techniques: An Introduction and Recent Advances (2006)Rare events, splitting, and quasi-Monte Carlo (2007)Numerical solution of stochastic differential equations (2016)Prospect theory: An analysis of decision under risk (1988)A YIELD‐FACTOR MODEL OF INTEREST RATES (1996)Introductory Econometrics for Finance (2008)Martingales and arbitrage in multiperiod securities markets (1979)The Pricing of Options on Assets with Stochastic Volatilities (1987)Bessel Processes and Asian Options (2005)A Stochastic Approximation Method (1951)Martingales and stochastic integrals in the theory of continuous trading (1981)A Guide to Simulation (1983)A Study on the Cross-Entropy Method for Rare-Event Probability Estimation (2007)Multilevel Monte Carlo Path Simulation (2008)Can Time‐Varying Risk of Rare Disasters Explain Aggregate Stock Market Volatility? (2013)Simulation Modeling and Analysis (2016)Regression methods for pricing complex American-style options (2001)New frontiers for arch models (2002)Option Pricing Under a Double Exponential Jump Diffusion Model (2004)Primal-Dual Simulation Algorithm for Pricing Multidimensional American Options (2004)Markov Perfect Industry Dynamics with Many Firms (2005)Valuation of segregated funds: shout options with maturity extensions (2001)A Dynamic Programming Procedure for Pricing American-Style Asian Options (2002)
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
  • 1990A pricing method for options based on average asset values628 cited
  • 2004Pricing American Options: A Duality Approach452 cited
  • 1999Asymptotically Optimal Importance Sampling and Stratification for Pricing Path‐Dependent Options219 cited
  • 1997A Sotchastic Mesh Method for Pricing High-Dimensional American Options65 cited
  • 1998Accelerated simulation for pricing Asian options52 cited
  • 1999Efficiency improvements for pricing American options with a stochastic mesh39 cited
  • 2002Importance sampling in derivative securities pricing30 cited

Cited by

  • 2012Refining the Least Squares Monte Carlo Method by Imposing Structure20 cited

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work