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Option trading
Bermudan options
32
Optionspreistheorie
20
Option pricing theory
18
Monte Carlo simulation
15
American and Bermudan options
9
Monte-Carlo-Simulation
7
Optimal stopping times
6
Regression methods
6
LIBOR market model
5
Optionsgeschäft
5
American options
4
Derivat
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Derivative
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Monte Carlo
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Simulation
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Stochastic process
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Stochastischer Prozess
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Boundary condition
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Conditional probabilistic representations
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Consumption process
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Deltas
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Dynamic programming
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Option pricing
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Regression
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Callability
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Credit risk
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Dual bounds
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Dynamische Optimierung
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Early exercise
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Expected exposure
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Finance
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Heston
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Interest rate derivative
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Kreditrisiko
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Low and Upper bounds
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Mixed exercise
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Monte Carlo simulations
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PSOR algorithm
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Perpetual Bermudan options
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Bayer, Christian
1
Germano, G.
1
Joshi, Mark S.
1
Lin, Chao-Yang
1
Lin, Shih-kuei
1
Mair, Maximilian L.
1
Marazzina, D.
1
Maruhn, Jan H.
1
Phelan, C. E.
1
Redmann, Martin
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Schoenmakers, John
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Tang, Kin Boon
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Tang, Robert
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Zheng, Wen-Jie
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Quantitative finance
2
Journal of economic dynamics & control
1
Review of derivatives research
1
The North American journal of economics and finance : a journal of financial economics studies
1
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ECONIS (ZBW)
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Valuation of callable accreting interest rate swaps : least squares Monte-Carlo method under Hull-White interest rate model
Tang, Kin Boon
;
Zheng, Wen-Jie
;
Lin, Chao-Yang
;
Lin, …
- In:
The North American journal of economics and finance : a …
56
(
2021
),
pp. 1-18
Persistent link: https://www.econbiz.de/10012821303
Saved in:
2
Dynamic programming for optimal stopping via pseudo-regression
Bayer, Christian
;
Redmann, Martin
;
Schoenmakers, John
- In:
Quantitative finance
21
(
2021
)
1
,
pp. 29-44
Persistent link: https://www.econbiz.de/10012424631
Saved in:
3
Pricing methods for α-quantile and perpetual early exercise options based on Spitzer identities
Phelan, C. E.
;
Marazzina, D.
;
Germano, G.
- In:
Quantitative finance
20
(
2020
)
6
,
pp. 899-918
Persistent link: https://www.econbiz.de/10012262635
Saved in:
4
Effective sub-simulation-free upper bounds for the Monte Carlo pricing of callable derivatives and various improvements to existing methodologies
Joshi, Mark S.
;
Tang, Robert
- In:
Journal of economic dynamics & control
40
(
2014
),
pp. 25-45
Persistent link: https://www.econbiz.de/10010424450
Saved in:
5
On the primal-dual algorithm for callable
Bermudan
options
Mair, Maximilian L.
;
Maruhn, Jan H.
- In:
Review of derivatives research
16
(
2013
)
1
,
pp. 79-110
Persistent link: https://www.econbiz.de/10009729918
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