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Search: subject:"Bermudan options"
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Simulation
Bermudan options
33
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
American options
5
LIBOR market model
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Option trading
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Optionsgeschäft
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Derivat
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Derivative
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Monte Carlo
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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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Dynamische Optimierung
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Heston
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Interest rate derivative
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Edwards, David A.
1
Ibáñez, Alfredo
1
Joshi, Mark S.
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Velasco, Carlos
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Wiguna, Alexander
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Wu, Xiaoxia
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European journal of operational research : EJOR
1
International journal of financial engineering
1
International journal of theoretical and applied finance
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Mathematical finance : an international journal of mathematics, statistics and financial economics
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ECONIS (ZBW)
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1
Optimal exercise frontier of
Bermudan
options
by simulation methods
Xie, Dejun
;
Edwards, David A.
;
Wu, Xiaoxia
- In:
International journal of financial engineering
9
(
2022
)
3
,
pp. 2250013-1-2250013-20
Persistent link: https://www.econbiz.de/10013367611
Saved in:
2
Generic improvements to least squares monte carlo methods with applications to optimal stopping problems
Wei, Wei
;
Zhu, Dan
- In:
European journal of operational research : EJOR
298
(
2022
)
3
,
pp. 1132-1144
Persistent link: https://www.econbiz.de/10013206929
Saved in:
3
The optimal method for pricing
Bermudan
options
by simulation
Ibáñez, Alfredo
;
Velasco, Carlos
- In:
Mathematical finance : an international journal of …
28
(
2018
)
4
,
pp. 1143-1180
Persistent link: https://www.econbiz.de/10011969082
Saved in:
4
Accelerating pathwise Greeks in the LIBOR market model
Joshi, Mark S.
;
Wiguna, Alexander
- In:
International journal of theoretical and applied finance
15
(
2012
)
2
,
pp. 1-33
Persistent link: https://www.econbiz.de/10009624523
Saved in:
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