Search Results - subject:"least-squares Monte Carlo"

Bus fleet decarbonization under macroeconomic and technological uncertainties : a real options approach to support decision-making

Avenali, Alessandro; De Santis, Daniele; Giagnorio, Mirko; … - In: Transportation research : an international journal 190 (2024), pp. 1-17

Persistent link: https://www.econbiz.de/10015097240

A deep learning model for gas storage optimization

Curin, Nicolas; Kettler, Michael; Kleisinger-Yu, Xi; … - In: Decisions in economics and finance : a journal of … 44 (2021) 2, pp. 1021-1037

Persistent link: https://www.econbiz.de/10012795104

Extremum Monte Carlo Filters: Real-Time Signal Extraction via Simulation and Regression

Blasques, Francisco; Koopman, Siem Jan; Moussa, Karim - 2023

This paper introduces a novel simulation-based filtering method for general state space models. It allows for the computation of time-varying conditional means, quantiles, and modes, but also for the prediction of latent variables in general. The method relies on generating artificial samples of...

Persistent link: https://www.econbiz.de/10014321789

Distributed least-squares Monte Carlo for American option pricing

Xiong, Lu; Luo, Jiyao; Vise, Hanna; White, Madison - In: Risks : open access journal 11 (2023) 8, pp. 1-16

techniques, especially the least squares Monte Carlo (LSMC) method, have been broadly used in optimizing the pricing algorithm …

Persistent link: https://www.econbiz.de/10014370419

Extremum Monte Carlo filters : real-time signal extraction via simulation and regression

Blasques, Francisco; Koopman, Siem Jan; Moussa, Karim - 2023 - This version: March 23, 2023

Persistent link: https://www.econbiz.de/10014247627

A stochastic Asset Liability Management model for life insurance companies

Di Francesco, Marco; Simonella, Roberta - In: Financial markets and portfolio management 37 (2023) 1, pp. 61-94

Persistent link: https://www.econbiz.de/10014252605

Pricing of American Parisian option as executive option based on the least-squares Monte Carlo approach

Zhuang, Yangyang; Tang, Pan - In: The journal of futures markets 43 (2023) 10, pp. 1469-1496

Persistent link: https://www.econbiz.de/10014339456

Deferring real options with solar renewable energy certificates

Zhang, Hanyu; Assereto, Martina; Byrne, Julie - In: Global finance journal 55 (2023), pp. 1-12

Persistent link: https://www.econbiz.de/10014248607

Machine learning in least-squares Monte Carlo proxy modeling of life insurance companies

Krah, Anne-Sophie; Nikolić, Zoran; Korn, Ralf - In: Risks 8 (2020) 1, pp. 1-79

as the least-squares Monte Carlo (LSMC) method. The key idea of LSMC is to run only a few wisely selected simulations and …

Persistent link: https://www.econbiz.de/10013200556

Neural network pricing of American put options

Gaspar, Raquel M.; Lopes, Sara Dutra; Sequeira, Bernardo - In: Risks 8 (2020) 3, pp. 1-24

more complex one-and we discuss the performance of two NN models with the Least-Squares Monte Carlo (LSM) method. This …

Persistent link: https://www.econbiz.de/10013200606

1
2
3
4
5
6
7
8
9
10
Next
Last