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Valuing American options by simulation : a simple least-squares approach

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Weighted Monte Carlo with least squares and randomized extended Kaczmarz for option pricing

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of scalar functions of (multivariate) random variables. This new approach combines the ability of Monte Carlo simulation …

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Option implied risk-neutral density estimation : a robust and flexible method

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Operating a swing option on today's gas markets : how least squares monte carlo works and why it is beneficial

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Operating a swing option on today's gas markets : how least squares Monte Carlo works and why it is beneficial

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Least square regression methods for Bermudan derivatives and systems of functions

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Estimating residual hedging risk with least-squares Monte Carlo

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Under the Solvency II regime, life insurance companies are asked to derive their solvency capital requirements from the full loss distributions over the coming year. Since the industry is currently far from being endowed with sufficient computational capacities to fully simulate these...

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An improved least squares Monte Carlo valuation method based on heteroscedasticity

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