SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Pricing high-dimensional American options by kernel ridge regression
15 references·1 citing·36 second hop
Pricing high-dimensional American options by kernel ridge regression (2020)Pricing high-dimensional American options…Machine Learning for Quantitative Finance: Fast Derivative Pricing, Hedging and Fitting (2018)Machine Learning for Quantita…The Stochastic Grid Bundling Method: Efficient pricing of Bermudan options and their Greeks (2015)The Stochastic Grid Bundling …Efficient Pricing of High-Dimensional American-Style Derivatives: A Robust Regression Monte Carlo Method (2011)Efficient Pricing of High-Dim…Pricing and hedging American-style options: a simple simulation-based approach (2010)Pricing and hedging American-…A Review on Regression-based Monte Carlo Methods for Pricing American Options (2010)A Review on Regression-based …Simulation for American Options: Regression Now or Regression Later? (2004)Simulation for American Optio…Primal-Dual Simulation Algorithm for Pricing Multidimensional American Options (2004)Primal-Dual Simulation Algori…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…Application of the Fast Gauss Transform to Option Pricing (2003)Application of the Fast Gauss…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…Valuation of the early-exercise price for options using simulations and nonparametric regression (1996)Valuation of the early-exerci…Numerical Valuation of High Dimensional Multivariate American Securities (1995)Numerical Valuation of High D…Machine learning in accounting and finance research: a literature review (2024)Machine learning in accountin…Numerical Methods in Economics (1998)Monte Carlo valuation of American options (2002)Pricing American Options: A Duality Approach (2004)Simulation Modeling and Analysis. (1983)Investment under Uncertainty (1994)Investment Under Uncertainty. (1994)LIBOR and swap market models and measures (1997)Monte Carlo methods for security pricing (1997)A Re-Examination of Traditional Hypotheses about the Term Structure of Interest Rates (1981)A Hilbert space proof of the fundamental theorem of asset pricing in finite discrete time (1992)Valuing American Options in a Path Simulation Model (2002)Option Pricing Under a Double Exponential Jump Diffusion Model (2004)The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)Brownian Motion and Stochastic Calculus (2007)New frontiers for arch models (2002)Theory of rational option pricing (2005)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Dynamic Asset Pricing Theory. (1993)A Double-Exponential Fast Gauss Transform Algorithm for Pricing Discrete Path-Dependent Options (2005)Numerical solution of two asset jump diffusion models for option valuation (2007)A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions (2008)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)Learning to trade via direct reinforcement (2001)Optimization under uncertainty: state-of-the-art and opportunities (2003)The Variance Gamma Process and Option Pricing (1998)Option valuation using the fast Fourier transform (1999)Deep learning volatility: a deep neural network perspective on pricing and calibration in (rough) volatility models (2020)Artificial intelligence and machine learning in finance: Identifying foundations, themes, and research clusters from bibliometric analysis (2021)Machine learning sentiment analysis, COVID-19 news and stock market reactions (2023)Multilevel Monte Carlo Path Simulation (2008)Can Time‐Varying Risk of Rare Disasters Explain Aggregate Stock Market Volatility? (2013)Simulation Modeling and Analysis (2016)
this work references cited by second hop

References

  • 2003Monte Carlo Methods in Financial Engineering3,917 cited
  • 2001Valuing American Options by Simulation: A Simple Least-Squares Approach3,228 cited
  • 1997Pricing American-style securities using simulation614 cited
  • 2001Regression methods for pricing complex American-style options612 cited
  • 1996Valuation of the early-exercise price for options using simulations and nonparametric regression517 cited
  • 2004Primal-Dual Simulation Algorithm for Pricing Multidimensional American Options420 cited
  • 2004A stochastic mesh method for pricing high-dimensional American options356 cited
  • 1995Numerical Valuation of High Dimensional Multivariate American Securities325 cited
  • 2018Machine Learning for Quantitative Finance: Fast Derivative Pricing, Hedging and Fitting158 cited
  • 2003Application of the Fast Gauss Transform to Option Pricing89 cited
  • 2004Simulation for American Options: Regression Now or Regression Later?84 cited
  • 2015The Stochastic Grid Bundling Method: Efficient pricing of Bermudan options and their Greeks70 cited
  • 2010Pricing and hedging American-style options: a simple simulation-based approach42 cited
  • 2010A Review on Regression-based Monte Carlo Methods for Pricing American Options35 cited
  • 2011

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

Efficient Pricing of High-Dimensional American-Style Derivatives: A Robust Regression Monte Carlo Method
16 cited

Cited by

  • 2024Machine learning in accounting and finance research: a literature review34 cited