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Efficient Pricing of High-Dimensional American-Style Derivatives: A Robust Regression Monte Carlo Method
16 references·1 citing·34 second hop
Efficient Pricing of High-Dimensional American-Style Derivatives: A Robust Regression Monte Carlo Method (2011)Efficient Pricing of High-Dimensional Ame…Introduction to Stochastic Calculus Applied to Finance (2011)Introduction to Stochastic Ca…Brownian Motion and Stochastic Calculus (2007)Brownian Motion and Stochasti…Stochastic Calculus for Finance II (2004)Stochastic Calculus for Finan…Monte Carlo Methods in Financial Engineering (2003)Monte Carlo Methods in Financ…Quadratic Convergence for Valuing American Options Using a Penalty Method (2002)Quadratic Convergence for Val…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…Stochastic Approximation Algorithms and Applications (1998)Stochastic Approximation Algo…Pricing American-style securities using simulation (1997)Pricing American-style securi…Martingale Methods in Financial Modelling (1997)Martingale Methods in Financi…Valuation of the early-exercise price for options using simulations and nonparametric regression (1996)Valuation of the early-exerci…Numerical Evaluation of Multivariate Contingent Claims (1989)Numerical Evaluation of Multi…Option pricing: A simplified approach (1979)Option pricing: A simplified …Options: A Monte Carlo approach (1977)Options: A Monte Carlo approa…On Transforming a Certain Class of Stochastic Processes by Absolutely Continuous Substitution of Measures (1960)On Transforming a Certain Cla…A Stochastic Approximation Method (1951)A Stochastic Approximation Me…Pricing high-dimensional American options by kernel ridge regression (2020)Pricing high-dimensional Amer…The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)Evaluating Natural Resource Investments (1985)Theory of Financial Decision Making. (1988)Theory of rational option pricing (2005)Introductory Econometrics for Finance (2008)Modelling Extremal Events (1997)Term Structure Dynamics in Theory and Reality (2003)Worst-Case Value-At-Risk and Robust Portfolio Optimization: A Conic Programming Approach (2003)Stochastic Integration and Differential Equations (2005)Numerical solution of stochastic differential equations (2016)Volatility Is Rough (2018)On a Formula Concerning Stochastic Differentials (1951)Martingales and arbitrage in multiperiod securities markets (1979)Martingales and stochastic integrals in the theory of continuous trading (1981)Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon (1987)Modelling of extremal events in insurance and finance (1994)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Modeling and Forecasting Realized Volatility (2003)Multilevel Monte Carlo Path Simulation (2008)Can Time‐Varying Risk of Rare Disasters Explain Aggregate Stock Market Volatility? (2013)Simulation Modeling and Analysis (2016)Some aspects of the sequential design of experiments (1952)Lectures on Stochastic Programming (2009)mirt : A Multidimensional Item Response Theory Package for the R Environment (2012)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)Irreversibility, Uncertainty, and Investment (1990)Control Techniques for Complex Networks (2007)A Tutorial on Bayesian Optimization of Expensive Cost Functions, with Application to Active User Modeling and Hierarchical Reinforcement Learning (2010)A Liquidity-Based Theory of Closed-End Funds (2008)ASSET PRICE BUBBLES IN INCOMPLETE MARKETS (2010)Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives (2011)
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  • 2002Quadratic Convergence for Valuing American Options Using a Penalty Method

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  • 2020Pricing high-dimensional American options by kernel ridge regression15 cited