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Perturbative expansion technique for non-linear FBSDEs with interacting particle method

Fujii, Masaaki; Takahashi, Akihiko - In: Asia-Pacific financial markets 22 (2015) 3, pp. 283-304

Persistent link: https://www.econbiz.de/10011524810

Portfolio optimization for American options

Zeng, Yaxiong; Klabjan, Diego - In: The journal of computational finance 22 (2018) 3, pp. 37-64

Persistent link: https://www.econbiz.de/10011988191

A semi-closed form approximation of arbitrage‑free call option price surface

Kundu, Arindam; Kumar, Sumit; Tomar, Nutan Kumar - In: Computational economics 63 (2024) 4, pp. 1431-1457

Persistent link: https://www.econbiz.de/10014549032

Value Function Approximation or Stopping Time Approximation : A Comparison of Two Recent Numerical Methods for American Option Pricing using Simulation and Regression

Stentoft, Lars - 2012

In Longstaff and Schwartz (2001) a method for American option pricing using simulation and regression is suggested, and … since then the method has rapidly gained importance. However, the idea of using regression and simulation for American …

Persistent link: https://www.econbiz.de/10014212073

Option portfolio management in a risk-neutral world

Golembiovsky, Dmitry Jurievich; Abramov, Anatoly Markovich - In: Journal of mathematical finance 8 (2018) 4, pp. 710-733

Persistent link: https://www.econbiz.de/10012016559

Efficient simulation methods for the Quasi-Gaussian term-structure model with volatility smiles : practical applications of the KLNV-scheme

Shinozaki, Yuji - In: Quantitative finance 21 (2021) 7, pp. 1147-1161

Persistent link: https://www.econbiz.de/10012588029

Applications of simulation-based methods in finance : the use of ModelRisk software

Habibi, Hamed; Habibi, Reza - In: Journal of advanced studies in finance : JASF 7 (2016) 1/13, pp. 82-89

Persistent link: https://www.econbiz.de/10011720964

An artificial intelligence approach to the valuation of American-style derivatives : a use of particle swarm optimization

Chen, Ren-Raw; Huang, Jeffrey; Huang, William; Yu, Robert - In: Journal of risk and financial management : JRFM 14 (2021) 2/57, pp. 1-22

. Specifically, we use swarm intelligence to find the optimal exercise boundary for an American-style derivative. Swarm intelligence …

Persistent link: https://www.econbiz.de/10012483653

Method of moments approach to pricing double barrier contracts in polynomial jump-diffusion models

Eriksson, Bjorn; Pistorius, Martijn - In: International journal of theoretical and applied finance 14 (2011) 7, pp. 1139-1158

Persistent link: https://www.econbiz.de/10009407659

Pathwise dynamic programming

Bender, Christian; Gärtner, Christian; Schweizer, Nikolaus - In: Mathematics of operations research 43 (2018) 3, pp. 965-995

Persistent link: https://www.econbiz.de/10011914390