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Efficient pricing of high-dimensional American-style derivatives : a robust regression Monte Carlo method

Jonen, Christian - 2011

Persistent link: https://www.econbiz.de/10010204985

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

Numerical valuation of derivatives in high-dimensional settings via partial differential equation expansions

Reisinger, Christoph; Wissmann, Rasmus - In: The journal of computational finance 18 (2014/2015) 4, pp. 95-127

Persistent link: https://www.econbiz.de/10011441267

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

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

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

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

Pricing the exotic : path-dependent American options with stochastic barriers

Rojas-Bernal, Alejandro; Villamizar, Mauricio - In: Latin American journal of central banking : LAJCB 2 (2021) 1, pp. 1-24

We develop a novel pricing strategy that approximates the value of an American option with exotic features through a portfolio of European options with different maturities. Among our findings, we show that: (i) our model is numerically robust in pricing plain vanilla American options; (ii) the...

Persistent link: https://www.econbiz.de/10012545887

Pricing the exotic: path-dependent american options with stochastic barriers

Rojas-Bernal, Alejandro; Villamizar, Mauricio; Garriga, … - 2021

Persistent link: https://www.econbiz.de/10012804267

A probabilistic Monte Carlo model for pricing discrete barrier and compound real options

Rostan, Pierre; Rostan, Alexandra; Racicot, François-Éric - In: Journal of derivatives & hedge funds 20 (2014) 2, pp. 113-126

Persistent link: https://www.econbiz.de/10010462984