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A critical analysis of the Weighted Least Squares Monte Carlo method for pricing American options
Reesor, R. Mark; Stentoft, Lars; Zhu, Xiaotian - In: Finance research letters 64 (2024), pp. 1-16
Persistent link: https://www.econbiz.de/10014531706
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An improved least squares Monte Carlo valuation method based on heteroscedasticity
Fabozzi, Frank J.; Paletta, Tommaso; Tunaru, Radu - In: European journal of operational research : EJOR 263 (2017) 2, pp. 698-706
Persistent link: https://www.econbiz.de/10011794017
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On the consistency of regression-based Monte Carlo methods for pricing Bermudan options in case of estimated financial models
Fromkorth, Andreas; Köhler, Michael - In: Mathematical finance : an international journal of … 25 (2015) 2, pp. 371-399
Persistent link: https://www.econbiz.de/10011350612
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On implied volatility for options : some reasons to smile and more to correct
Chen, Song Xi; Xu, Zheng - In: Journal of econometrics 179 (2014) 1, pp. 1-15
Persistent link: https://www.econbiz.de/10010258291
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Monte Carlo simulation of boundary crossing probabilities with applications to finance and statistics
Gür, Sercan - 2019
Persistent link: https://www.econbiz.de/10012197036
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Option implied risk-neutral density estimation : a robust and flexible method
Kundu, Arindam; Kumar, Sumit; Tomar, Nutan Kumar - In: Computational economics 54 (2019) 2, pp. 705-728
Persistent link: https://www.econbiz.de/10012134345
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American option pricing using simulation with an application to the GARCH model
Stentoft, Lars - In: Handbook of research methods and applications in …, (pp. 114-147). 2013
Persistent link: https://www.econbiz.de/10011897373
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American Option Pricing Using Simulation and Regression : Numerical Convergence Results
Stentoft, Lars - 2011
Recently, simulation methods combined with regression techniques have gained importance when it comes to American …
Persistent link: https://www.econbiz.de/10013118205
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A semi-closed form approximation of arbitrage‑free call option price surface
Kundu, Arindam; Kumar, Sumit; Tomar, Nutan Kumar - In: Computational economics 63 (2024) 4, pp. 1431-1457
Persistent link: https://www.econbiz.de/10014549032
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Impact of bias in the estimation of American-style options by Monte Carlo simulation
Anukal Chiralaksanakul - In: Journal of modelling in management 11 (2016) 2, pp. 644-659
Persistent link: https://www.econbiz.de/10011529578