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On improving the least squares Monte Carlo option valuation method
16 references·3 citing·32 second hop
On improving the least squares Monte Carlo option valuation method (2008)On improving the least squares Monte Carl…Number of paths versus number of basis functions in American option pricing (2004)Number of paths versus number…Convergence of the Least Squares Monte Carlo Approach to American Option Valuation (2004)Convergence of the Least Squa…Assessing the Least Squares Monte-Carlo Approach to American Option Valuation (2004)Assessing the Least Squares M…On the Robustness of Least-Squares Monte Carlo (LSM) for Pricing American Derivatives (2003)On the Robustness of Least-Sq…Monte Carlo methods in finance (2002)Monte Carlo methods in financeAn 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-style securities using simulation (1997)Pricing American-style securi…Monte Carlo methods for security pricing (1997)Monte Carlo methods for secur…Quasi-Monte Carlo Methods in Numerical Finance (1996)Quasi-Monte Carlo Methods in …American Option Valuation: New Bounds, Approximations, and a Comparison of Existing Methods (1996)American Option Valuation: Ne…Comparing Predictive Accuracy (1994)Comparing Predictive AccuracyOption pricing: A simplified approach (1979)Option pricing: A simplified …Options: A Monte Carlo approach (1977)Options: A Monte Carlo approa…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…Fair dynamic valuation of insurance liabilities: Merging actuarial judgement with market- and time-consistency (2019)Fair dynamic valuation of ins…An improved least squares Monte Carlo valuation method based on heteroscedasticity (2017)An improved least squares Mon…Value function approximation or stopping time approximation: a comparison of two recent numerical methods for American option pricing using simulation and regression (2014)Value function approximation …Efficient Analytic Approximation of American Option Values (1987)Randomization and the American Put (1998)Stock Return Characteristics, Skew Laws, and the Differential Pricing of Individual Equity Options (2001)Primal-Dual Simulation Algorithm for Pricing Multidimensional American Options (2004)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 Comparison of Three Methods for Selecting Values of Input Variables in the Analysis of Output from a Computer Code (2000)Option Pricing Under a Double Exponential Jump Diffusion Model (2004)Theory of Rational Option Pricing (1973)Option Pricing when the Variance Changes Randomly: Theory, Estimation, and an Application (1987)THE GARCH OPTION PRICING MODEL (1995)Theory of rational option pricing (2005)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Martingales and arbitrage in multiperiod securities markets (1979)Pricing American Options: A Duality Approach (2004)Applied Stochastic Processes and Control for Jump-Diffusions: Modeling, Analysis and Computation (2007)A comparison of biased simulation schemes for stochastic volatility models (2009)Monte Carlo and Quasi-Monte Carlo Methods (2013)New frontiers for arch models (2002)Martingales and stochastic integrals in the theory of continuous trading (1981)Evaluating Natural Resource Investments (1985)Irreversibility, Uncertainty, and Investment (1990)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)A Comprehensive Look at The Empirical Performance of Equity Premium Prediction (2007)Strictly Proper Scoring Rules, Prediction, and Estimation (2007)
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References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1979Option pricing: A simplified approach6,103 cited
  • 1994Comparing Predictive Accuracy5,495 cited
  • 2001Valuing American Options by Simulation: A Simple Least-Squares Approach3,218 cited
  • 1977Options: A Monte Carlo approach1,341 cited
  • 1997Monte Carlo methods for security pricing856 cited
  • 1997Pricing American-style securities using simulation614 cited
  • 2001Regression methods for pricing complex American-style options612 cited
  • 1996American Option Valuation: New Bounds, Approximations, and a Comparison of Existing Methods547 cited
  • 2002Monte Carlo methods in finance459 cited
  • 2002An analysis of a least squares regression method for American option pricing342 cited
  • 1996Quasi-Monte Carlo Methods in Numerical Finance243 cited
  • 2004Convergence of the Least Squares Monte Carlo Approach to American Option Valuation183 cited
  • 2004Number of paths versus number of basis functions in American option pricing151 cited
  • 2003On the Robustness of Least-Squares Monte Carlo (LSM) for Pricing American Derivatives127 cited

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2004
Assessing the Least Squares Monte-Carlo Approach to American Option Valuation
121 cited

Cited by

  • 2017An improved least squares Monte Carlo valuation method based on heteroscedasticity28 cited
  • 2019Fair dynamic valuation of insurance liabilities: Merging actuarial judgement with market- and time-consistency28 cited
  • 2014Value function approximation or stopping time approximation: a comparison of two recent numerical methods for American option pricing using simulation and regression27 cited