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Localization and exact simulation of Brownian motion-driven stochastic differential equations
Chen, Nan; Huang, Zhengyu - In: Mathematics of operations research 38 (2013) 3, pp. 591-616
Persistent link: https://www.econbiz.de/10009787357
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Brownian meanders, importance sampling and unbiased simulation of diffusion extremes
Chen, Nan; Huang, Zhengyu - In: Operations research letters 40 (2012) 6, pp. 554-563
Persistent link: https://www.econbiz.de/10009717283
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Additive and multiplicative duals for American option pricing
Chen, Nan; Glasserman, Paul - In: Finance and stochastics 11 (2007) 2, pp. 153-179
Persistent link: https://www.econbiz.de/10003439750
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Information relaxation and a duality-driven algorithm for stochastic dynamic programs
Chen, Nan; Ma, Xiang; Liu, Yanchu; Yu, Wei - In: Operations research 72 (2024) 6, pp. 2302-2320
Persistent link: https://www.econbiz.de/10015371401