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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
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Calibration to American options : numerical investigation of the de-Americanization method
Burkovska, O.; Gass, M.; Glau, Kathrin; Mahlstedt, M.; … - In: Quantitative finance 18 (2018) 7, pp. 1091-1113
Persistent link: https://www.econbiz.de/10011911523
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American option pricing under the double Heston model based on asymptotic expansion
Zhang, S. M.; Feng, Y. - In: Quantitative finance 19 (2019) 2, pp. 211-226
Persistent link: https://www.econbiz.de/10012194649
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Representation of exchange option prices under stochastic volatility jump-diffusion dynamics
Cheang, Gerald H. L.; Garces, Len Patrick Dominic M. - In: Quantitative finance 20 (2020) 2, pp. 291-310
Persistent link: https://www.econbiz.de/10012194867
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Machine learning for pricing American options in high-dimensional Markovian and non-Markovian models
Goudenège, Ludovic; Molent, Andrea; Zanette, Antonino - In: Quantitative finance 20 (2020) 4, pp. 573-591
Persistent link: https://www.econbiz.de/10012194908
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Deep neural network framework based on backward stochastic differential equations for pricing and hedging American options in high dimensions
Chen, Yangang; Wan, Justin W. L. - In: Quantitative finance 21 (2021) 1, pp. 45-67
Persistent link: https://www.econbiz.de/10012424632
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JDOI variance reduction method and the pricing of American-style options
Auster, Johan; Mathys, Ludovic; Maeder, Fabio - In: Quantitative finance 22 (2022) 4, pp. 639-656
Persistent link: https://www.econbiz.de/10013367843
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Analysis of VIX-linked fee incentives in variable annuities via continuous-time Markov chain approximation
MacKay, Anne; Vachon, Marie-Claude; Cui, Zhenyu - In: Quantitative finance 23 (2023) 7/8, pp. 1055-1078
Persistent link: https://www.econbiz.de/10014321664
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Classification of flash crashes using the Hawkes(p,q) framework
Wehrli, Alexander; Sornette, Didier - In: Quantitative finance 22 (2022) 2, pp. 213-240
Persistent link: https://www.econbiz.de/10013167733
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State-dependent Hawkes processes and their application to limit order book modelling
Morariu-Patrichi, Maxime; Pakkanen, Mikko S. - In: Quantitative finance 22 (2022) 3, pp. 563-583
Persistent link: https://www.econbiz.de/10013167781