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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

An approximation scheme for diffusion processes based on an antisymmetric calculus over Wiener space

Yoshikawa, Kazuhiro - In: Asia-Pacific financial markets 22 (2015) 2, pp. 185-207

Persistent link: https://www.econbiz.de/10011377529

Numerical stability of a hybrid method for pricing options

Briani, Maya; Caramellino, Lucia; Terenzi, Giulia; … - In: International journal of theoretical and applied finance 22 (2019) 7, pp. 1-46

Persistent link: https://www.econbiz.de/10012153319

Numerical analysis of the statistical properties of uniform design in stated choice modelling

Li, Pengfei; Wang, Donggen - In: Transport reviews : TR 29 (2009) 5, pp. 619-634

Persistent link: https://www.econbiz.de/10003897650

Numerical methods for optimization in finance : optimized hedges for options and optimized options for hedging

Lipp, Tobias - 2013

Persistent link: https://www.econbiz.de/10010203082

Automated option pricing : numerical methods

Henry-Labordère, Pierre - In: International journal of theoretical and applied finance 16 (2013) 8, pp. 1-27

Persistent link: https://www.econbiz.de/10010243611

A few insights into cliquet options

Guillaume, Tristan - In: International journal of business 17 (2012) 2, pp. 163-180

Persistent link: https://www.econbiz.de/10009550120

Numerical methods in finance

Rogers, Leonard C. G. (contributor); … - 2008 - Digitally print. version, paperb. re-issue

Persistent link: https://www.econbiz.de/10003650172

American option valuation methods

Zhao, Jinsha - In: International journal of economics and finance 10 (2018) 5, pp. 1-13

Persistent link: https://www.econbiz.de/10011861003

Wiener chaos expansion and numerical solutions of the Heath-Jarrow-Morton interest rate model

Kalpinelli, Evangelia A.; Frangos, Nikolaos E.; … - In: The journal of computational finance 19 (2016) 4, pp. 1-27

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