The least-squares Monte Carlo method has proved to be a suitable approximation technique for the calculation of a life insurer's solvency capital requirements. We suggest to enhance it by the use of a neural network based approach to construct the proxy function that models the insurer's loss...

One of the important features in uranium contracts is that the quantity flexibility option is included in long-term contracts, so that buyer has the flexibility to increase or decrease the quantity purchase and adjust the delivery month depending on the market conditions. While it is important...

This paper proposes an innovative algorithm that significantly improves on the approximation of the optimal early exercise boundary obtained with simulation based methods for American option pricing. The method works by exploiting and leveraging the information in multiple cross sectional...

Although independent unobserved heterogeneity--variables that affect the dependent variable but are independent from the other explanatory variables of interest--do not affect the point estimates or marginal effects in least squares regression, they do affect point estimates in nonlinear models...

Variance-based SEM, also known under the term partial least squares (PLS) analysis, is an approach that has gained increasing interest among marketing researchers in recent years. During the last 25 years, more than 30 articles have been published in leading marketing journals that have applied...

In the Longstaff-Schwartz Least-Squares Monte Carlo (LSM) method for American option pricing, the early-exercise strategy is based on a regression of future option values on current state variables. The dependence between continuation values and future cash flows results in potential model...