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Efficient pricing of high-dimensional American-style derivatives : a robust regression Monte Carlo method

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JDOI variance reduction method and the pricing of American-style options

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Simulation of the drawdown and its duration in Lévy models via stick-breaking Gaussian approximation

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Bootstrapping the early exercise boundary in the least-squares monte carlo method

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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

Improved variance reduced Monte-Carlo simulation of in-the-money options

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Conditional Monte Carlo scheme for stable greeks of worst-of autocallable notes

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Dimension and variance reduction for Monte Carlo methods for high-dimensional models in finance

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An efficient variance reduction-based simulation algorithm for pricing arithmetic Asian options

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