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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 option pricing was used at least as early as in Carriere...

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

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

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

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

Polynomial upper and lower bounds for financial derivative price functions under regime-switching

Bhim, Louis; Kawai, Reiichiro - In: The journal of computational finance 22 (2018) 2, pp. 35-71

Persistent link: https://www.econbiz.de/10011976660

On a monotone dynamic approach to optimal stopping problems for continuous-time Markov chains

Miclo, Laurent; Villeneuve, Stéphane - 2019

Persistent link: https://www.econbiz.de/10012181506

A stochastic control approach to bid-ask price modelling

Dela Vega, Engel John C.; Elliott, Robert J. - In: International journal of theoretical and applied … 25 (2022) 4/5, pp. 1-30

Persistent link: https://www.econbiz.de/10013371064

Upper and lower bounds for convex value functions of derivative contracts

Ben-Ameur, Hatem; Frutos, Javier de; Fakhfakh, Tarek; … - In: Economic modelling 34 (2013), pp. 69-75

Persistent link: https://www.econbiz.de/10010360612

Deep stochastic optimization in finance

Reppen, A. Max; Soner, Halil Mete; Tissot-Daguette, Valentin - In: Digital finance : smart data analytics, investment … 5 (2023) 1, pp. 91-111

Persistent link: https://www.econbiz.de/10014251569

Alternative methods for determining option bounds : a review and comparison

Lee, Cheng F.; Zhong, Zhaodong; Tai, Tzu; Chuang, Hongwei - 2024

Persistent link: https://www.econbiz.de/10015046626