Similar Search Results

Note on pairwise negative dependence of randomly shifted and jittered rank-1 lattices

Wnuk, Marcin; Gnewuch, Michael - In: Operations research letters 48 (2020) 4, pp. 410-414

Persistent link: https://www.econbiz.de/10012294754

On the effective dimension and multilevel Monte Carlo

Kahalé, Nabil - In: Operations research letters 50 (2022) 4, pp. 415-421

Persistent link: https://www.econbiz.de/10013364126

On the consistency of regression-based Monte Carlo methods for pricing Bermudan options in case of estimated financial models

Fromkorth, Andreas; Köhler, Michael - In: Mathematical finance : an international journal of … 25 (2015) 2, pp. 371-399

Persistent link: https://www.econbiz.de/10011350612

An improved least squares Monte Carlo valuation method based on heteroscedasticity

Fabozzi, Frank J.; Paletta, Tommaso; Tunaru, Radu - In: European journal of operational research : EJOR 263 (2017) 2, pp. 698-706

Persistent link: https://www.econbiz.de/10011794017

Convergence of a least-squares Monte Carlo algorithm for American option pricing with dependent sample data

Zanger, Daniel Z. - In: Mathematical finance : an international journal of … 28 (2018) 1, pp. 447-479

Persistent link: https://www.econbiz.de/10011969162

Explicit Heston solutions and stochastic approximation for path-dependent option pricing

Kouritzin, Michael A. - In: International journal of theoretical and applied finance 21 (2018) 1, pp. 1-45

Persistent link: https://www.econbiz.de/10011846484

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

Pricing the exotic: path-dependent american options with stochastic barriers

Rojas-Bernal, Alejandro; Villamizar-Villegas, Mauricio; … - 2021

Persistent link: https://www.econbiz.de/10012804267

Branching particle pricers with heston examples

Kouritzin, Michael A.; MacKay, Anne - In: International journal of theoretical and applied finance 23 (2020) 1, pp. 1-29

Persistent link: https://www.econbiz.de/10012270887

Pricing the exotic : path-dependent American options with stochastic barriers

Rojas-Bernal, Alejandro; Villamizar, Mauricio - In: Latin American journal of central banking : LAJCB 2 (2021) 1, pp. 1-24

We develop a novel pricing strategy that approximates the value of an American option with exotic features through a portfolio of European options with different maturities. Among our findings, we show that: (i) our model is numerically robust in pricing plain vanilla American options; (ii) the...

Persistent link: https://www.econbiz.de/10012545887