Similar Search Results

American option pricing with discrete and continuous time models : an empirical comparison

Stentoft, Lars - In: Journal of empirical finance 18 (2011) 5, pp. 880-902

Persistent link: https://www.econbiz.de/10009492526

Least squares kernel smoothing of the implied volatility smile

Fengler, Matthias R.; Wang, Qihua - In: Applied quantitative finance, (pp. 193-207). 2009

Persistent link: https://www.econbiz.de/10003746018

Calibration of Local Stochastic Volatility Models to Market Smiles : A Monte-Carlo Approach

Henry-Labordere, Pierre - 2011

In this paper, we introduce a new technique for calibrating local volatility extensions of arbitrary multi …-factor stochastic volatility models to market smiles. Although approximate, this technique is both fast and accurate. The procedure is …

Persistent link: https://www.econbiz.de/10013134263

Least squares Monte Carlo methods in stochastic Volterra rough volatility models

Guerreiro, Henrique; Guerra, João - In: The journal of computational finance 26 (2022) 3, pp. 73-101

Persistent link: https://www.econbiz.de/10014314563

Deep learning-based least squares forward-backward stochastic differential equation solver for high-dimensional derivative pricing

Liang, Jian; Xu, Zhe; Li, Peter - In: Quantitative finance 21 (2021) 8, pp. 1309-1323

Persistent link: https://www.econbiz.de/10012608649

Deep Learning-Based Least Square Forward-Backward Stochastic Differential Equation Solver for High-Dimensional Derivative Pricing

Liang, Jian - 2020

We propose a new forward-backward stochastic differential equation solver for highdimensional derivative pricing problems by combining deep learning solver with least square regression technique widely used in the least square Monte Carlo method for the valuation of American options. Our...

Persistent link: https://www.econbiz.de/10012849376