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Least Squares Monte Carlo and Approximate Linear Programming : Error Bounds and Energy Real Option Application
Nadarajah, Selvaprabu - 2018
Least squares Monte Carlo (LSM) is an approximate dynamic programming (ADP) technique commonly used for the valuation of high dimensional financial and real options, but has broader applicability. It is known that the regress-later version of this method is an approximate linear programming...
Persistent link: https://www.econbiz.de/10012912912
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A non-parametric estimator for stochastic volatility density
Ouamaliche, Soufiane; Sayah, Awatef - In: International journal of computational economics and … 11 (2021) 4, pp. 349-367
Persistent link: https://www.econbiz.de/10012655445
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Correcting the bias in the Practitioner Black-Scholes method
Yin, Yun; Moffatt, Peter G. - In: Journal of risk and financial management : JRFM 12 (2019) 4/157, pp. 1-12
We address a number of technical problems with the popular Practitioner Black-Scholes (PBS) method for valuing options. The method amounts to a two-stage procedure in which fitted values of implied volatilities (IV) from a linear regression are plugged into the Black-Scholes formula to obtain...
Persistent link: https://www.econbiz.de/10012172997
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A spectral estimation of tempered stable stochastic volatility models and option pricing
Li, Junye; Favero, Carlo A.; Ortu, Fulvio - 2010
Persistent link: https://www.econbiz.de/10011334802
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Estimation of parametric homogeneous stochastic volatility pricing formulae based on option data
Xu, Zheng - In: Economics letters 120 (2013) 3, pp. 369-373
Persistent link: https://www.econbiz.de/10010128844
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Asymptotic expansion for some local volatility models arising in finance
Albeverio, Sergio; Cordoni, Francesco; Di Persio, Luca; … - In: Decisions in economics and finance : DEF ; a journal of … 42 (2019) 2, pp. 527-573
Persistent link: https://www.econbiz.de/10012127266
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Importance sampling for jump processes and applications to finance
Badouraly Kassim, Laetitia; Lelong, Jérôme; … - In: The journal of computational finance 19 (2015/2016) 2, pp. 109-139
Persistent link: https://www.econbiz.de/10011442676
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Perturbative expansion technique for non-linear FBSDEs with interacting particle method
Fujii, Masaaki; Takahashi, Akihiko - In: Asia-Pacific financial markets 22 (2015) 3, pp. 283-304
Persistent link: https://www.econbiz.de/10011524810
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How do invariant transformations affect the calibration and optimization of the Kalman filtering algorithm used in the estimation of continuous-time affine term structure models?
Juneja, Januj Amar - In: Computational management science 18 (2021) 1, pp. 73-97
Persistent link: https://www.econbiz.de/10012487048
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Value-at-risk estimation with stochastic interest rate models for option-bond portfolios
Wang, Xiaoyu; Xie, Dejun; Jiang, Jingjing; Wu, Xiaoxia; … - In: Finance research letters 21 (2017), pp. 10-20
Persistent link: https://www.econbiz.de/10011807256