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Geometrically convergent simulation of the extrema of Lévy processes
González Cázares, Jorge Ignacio; Mijatović, Aleksandar; … - In: Mathematics of operations research 47 (2022) 2, pp. 1141-1168
Persistent link: https://www.econbiz.de/10013365090
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Bootstrapping the early exercise boundary in the least-squares monte carlo method
Létourneau, Pascal; Stentoft, Lars - In: Journal of risk and financial management : JRFM 12 (2019) 4/190, pp. 1-21
exercise boundary obtained with simulation based methods for American option pricing. The method works by exploiting and … of simulation setup, the characteristics of the option, and the dimensionality of the problem. Finally, because our …
Persistent link: https://www.econbiz.de/10012170988
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Importance sampling for option Greeks with discontinuous payoffs
Tong, Shaolong; Liu, Guangwu - In: INFORMS journal on computing : JOC 28 (2016) 2, pp. 223-235
Persistent link: https://www.econbiz.de/10011489268
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Efficient numerical pricing of American call options using symmetry arguments
Stentoft, Lars - In: Journal of risk and financial management : JRFM 12 (2019) 2/59, pp. 1-26
regression and simulation-based least-squares Monte Carlo method by using put-call symmetry. The results show that, for a large …
Persistent link: https://www.econbiz.de/10012022212
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Estimating the structural credit risk model when equity prices are contaminated by trading noises
Duan, Jin-Chuan; Fulop, Andras - 2005
simulation study is then conducted to ascertain the performance of the estimation method. …
Persistent link: https://www.econbiz.de/10011560691
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Classic Kriging versus Kriging with bootstrapping or bonditional simulation : classic Kriging's robust confidence intervals and optimization
Mehdad, Ehsan; Kleijnen, Jack P. C. - 2014 - Revised version of CentER DP 2013-038
Persistent link: https://www.econbiz.de/10011285515
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The finite sample performance of semi- and nonparametric estimators for treatment effects and policy evaluation
Frölich, Markus; Huber, Martin; Wiesenfarth, Manuel - 2015
Persistent link: https://www.econbiz.de/10011302461
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I-SMOOTH : iteratively smoothing mean-constrained and nonnegative piecewise-constant functions
Chen, Huifen; Schmeiser, Bruce - In: INFORMS journal on computing : JOC 25 (2013) 3, pp. 432-445
Persistent link: https://www.econbiz.de/10009784069
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I-SMOOTH : iteratively smoothing mean-constrained and nonnegative piecewise-constant functions
Chen, Huifen; Schmeiser, Bruce - In: INFORMS journal on computing : JOC 25 (2013) 3, pp. 432-445
Persistent link: https://www.econbiz.de/10009784071
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The finite sample performance of semi- and nonparametric estimators for treatment effects and policy evaluation
Frölich, Markus; Huber, Martin; Wiesenfarth, Manuel - 2015
treatment and policy evaluation. In contrast to previous simulation studies which mostly considered semiparametric approaches …
Persistent link: https://www.econbiz.de/10010467808