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Pricing High-Dimensional Bermudan Options with Hierarchical Tensor Formats
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Pricing High-Dimensional Bermudan Options with Hierarchical Tensor Formats (2023)Pricing High-Dimensional Bermudan Options…Solving high-dimensional optimal stopping problems using deep learning (2021)Solving high-dimensional opti…Pricing and Hedging American-Style Options with Deep Learning (2020)Pricing and Hedging American-…Pricing American options by exercise rate optimization (2020)Pricing American options by e…Low-Rank Tensor Approximation for Chebyshev Interpolation in Parametric Option Pricing (2020)Low-Rank Tensor Approximation…Adaptive stochastic Galerkin FEM for lognormal coefficients in hierarchical tensor representations (2020)Adaptive stochastic Galerkin …Kriging metamodels and experimental design for Bermudan option pricing (2018)Kriging metamodels and experi…Dual Pricing of American Options by Wiener Chaos Expansion (2018)Dual Pricing of American Opti…Deep optimal stopping (2018)Deep optimal stoppingChebyshev interpolation for parametric option pricing (2018)Chebyshev interpolation for p…Pricing under rough volatility (2015)Pricing under rough volatilityComputational Methods for Option Pricing (2005)Computational Methods for Opt…Primal-Dual Simulation Algorithm for Pricing Multidimensional American Options (2004)Primal-Dual Simulation Algori…Monte Carlo Methods in Financial Engineering (2003)Monte Carlo Methods in Financ…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…The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Linear credit risk models (2019)Unlocking the black box: Non-parametric option pricing before and during COVID-19 (2022)Valuation of the early-exercise price for options using simulations and nonparametric regression (1996)Pricing American-style securities using simulation (1997)Option Pricing Under a Double Exponential Jump Diffusion Model (2004)Pricing American Options: A Duality Approach (2004)New frontiers for arch models (2002)Theory of rational option pricing (2005)Options: A Monte Carlo approach (1977)Option pricing: A simplified approach (1979)A stochastic mesh method for pricing high-dimensional American options (2004)Information Relaxations and Duality in Stochastic Dynamic Programs (2010)Fractional Brownian Motions, Fractional Noises and Applications (1968)Deep reinforcement learning for market making in corporate bonds: beating the curse of dimensionality (2019)Quant GANs: deep generation of financial time series (2020)Stochastic Differential Equations (2003)Financial option valuation by unsupervised learning with artificial neural networks (2021)Solving high-dimensional Hamilton–Jacobi–Bellman PDEs using neural networks: perspectives from the theory of controlled diffusions and measures on path space (2021)Deep stochastic optimization in finance (2022)Regression methods for pricing complex American-style options (2001)Options, Futures and Other Derivatives (2003)A deep learning approach for computations of exposure profiles for high-dimensional Bermudan options (2021)Deep Hedging: Continuous Reinforcement Learning for Hedging of General Portfolios across Multiple Risk Aversions (2022)The Volatility Surface: A Practitioner's Guide (2006)Realized Volatility: A Review (2008)The characteristic function of rough Heston models (2018)Volatility Is Rough (2018)The characteristic function of rough Heston models (2019)Multilevel Monte Carlo Path Simulation (2008)Can Time‐Varying Risk of Rare Disasters Explain Aggregate Stock Market Volatility? (2013)Simulation Modeling and Analysis (2016)Numerical Valuation of European and American Options under Kou's Jump-Diffusion Model (2008)Partial Differential Equations (2010)Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives (2011)
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References

  • 2003Monte Carlo Methods in Financial Engineering3,917 cited
  • 2001Valuing American Options by Simulation: A Simple Least-Squares Approach3,228 cited
  • 2002Monte Carlo valuation of American options554 cited
  • 2015Pricing under rough volatility461 cited
  • 2004Primal-Dual Simulation Algorithm for Pricing Multidimensional American Options420 cited
  • 2005Computational Methods for Option Pricing386 cited
  • 2018Deep optimal stopping138 cited
  • 2021Solving high-dimensional optimal stopping problems using deep learning88 cited
  • 2020Pricing and Hedging American-Style Options with Deep Learning69 cited
  • 2018Chebyshev interpolation for parametric option pricing47 cited
  • 2018Kriging metamodels and experimental design for Bermudan option pricing43 cited
  • 2020Low-Rank Tensor Approximation for Chebyshev Interpolation in Parametric Option Pricing30 cited
  • 2020Pricing American options by exercise rate optimization22 cited
  • 2018Dual Pricing of American Options by Wiener Chaos Expansion18 cited
  • 2020Adaptive stochastic Galerkin FEM for lognormal coefficients in hierarchical tensor representations13 cited

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