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Search: subject:"regression-based Monte Carlo methods"
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Monte Carlo simulation
4
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American options
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regression-based Monte Carlo methods
3
Control theory
2
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2
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Bermudan options
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Newton-Raphson method
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Regression based Monte Carlo methods
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Regression-based Monte Carlo methods
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Regressionsanalyse
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Robust statistics
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Robustes Verfahren
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consistency
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continuous optimization
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Ewald, Christian
2
Nolan, Charles
2
Fromkorth, Andreas
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Jonen, Christian
1
Kohler, Michael
1
Köhler, Michael
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AStA Advances in Statistical Analysis
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Journal of economic dynamics & control
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Mathematical finance : an international journal of mathematics, statistics and financial theory
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ECONIS (ZBW)
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On the adaptation of the Lagrange formalism to continuous time stochastic optimal control : a Lagrange-Chow redux
Ewald, Christian
;
Nolan, Charles
-
2024
Persistent link: https://ebvufind01.dmz1.zbw.eu/10014529902
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2
On the adaptation of the Lagrange formalism to continuous time stochastic optimal control : a Lagrange-Chow redux
Ewald, Christian
;
Nolan, Charles
- In:
Journal of economic dynamics & control
162
(
2024
),
pp. 1-18
Persistent link: https://ebvufind01.dmz1.zbw.eu/10015050299
Saved in:
3
Efficient pricing of high-dimensional American-style derivatives : a robust regression Monte Carlo method
Jonen, Christian
-
2011
Persistent link: https://ebvufind01.dmz1.zbw.eu/10010204985
Saved in:
4
On the consistency of
regression-based
Monte
Carlo
methods
for pricing Bermudan options in case of estimated financial models
Fromkorth, Andreas
;
Köhler, Michael
- In:
Mathematical finance : an international journal of …
25
(
2015
)
2
,
pp. 371-399
Persistent link: https://ebvufind01.dmz1.zbw.eu/10011350612
Saved in:
5
A regression-based smoothing spline Monte Carlo algorithm for pricing American options in discrete time
Kohler, Michael
- In:
AStA Advances in Statistical Analysis
92
(
2008
)
2
,
pp. 153-178
Persistent link: https://ebvufind01.dmz1.zbw.eu/10005755496
Saved in:
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