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On the robustness of Least-Squares Monte Carlo (LSM) for pricing American derivatives

Moreno, Manuel (contributor); Navas, Javier F. (contributor) - 2001 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001578818

Computational complexity analysis of least-squares Monte Carlo (LSM) for pricing US derivatives

Chen, A.-S.; Shen, P.-F. - In: Applied economics letters 10 (2003) 4, pp. 223-229

Persistent link: https://www.econbiz.de/10001748973

AAD and Least-Square Monte Carlo : Fast Bermudan-Style Options and XVA Greeks

Capriotti, Luca - 2017

We show how Adjoint Algorithmic Differentiation (AAD) can be used to calculate price sensitivities in regression-based Monte Carlo methods reliably and orders of magnitude faster than with standard finite-difference approaches. We present the AAD version of the celebrated least-square algorithms...

Persistent link: https://www.econbiz.de/10012968069

Pricing of American Parisian option as executive option based on the least-squares Monte Carlo approach

Zhuang, Yangyang; Tang, Pan - In: The journal of futures markets 43 (2023) 10, pp. 1469-1496

Persistent link: https://www.econbiz.de/10014339456

Complex derivatives valuation : applying the Least-Squares Monte Carlo Simulation Method with several polynomial basis : design and research issues

Monteiro de Lima, Ursula Silveira; Samanez, Carlos P. - In: Financial innovation : FIN 2 (2016) 4, pp. 1-14

indistinctly used when pricing the derivative. Conclusion: In this article The Least-Squares Monte Carlo Method performance is … American Asian option. Theoretically all basis can be indistinctly used when pricing the derivative. However, our results does …

Persistent link: https://www.econbiz.de/10011542478

Least square regression methods for Bermudan derivatives and systems of functions

Kusuoka, Shigeo; Morimoto, Yusuke - In: Advances in mathematical economics 19 (2015), pp. 57-89

Persistent link: https://www.econbiz.de/10010519532

Simulation-based Value-at-Risk for nonlinear portfolios

Chen, Junyao; Sit, Tony; Wong, Hoi Ying - In: Quantitative finance 19 (2019) 10, pp. 1639-1658

Persistent link: https://www.econbiz.de/10012194812

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

Assessing the economic value of venture capital contracts : an option pricing approach

Onimus, Jil Caroline - 2011 - 1. ed.

Persistent link: https://www.econbiz.de/10008839828

Assessing the Economic Value of Venture Capital Contracts : An Option Pricing Approach

Onimus, Jil Caroline - 2011

Jil C. Onimus makes a contribution to the nascent research line on the economic value of venture capital contracts which lies at the intersection of venture capital contract design and real option pricing. She identifies the baskets of real options embedded in model venture capital contracts as...

Persistent link: https://www.econbiz.de/10014015290