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American option pricing with importance sampling and shifted regressions

Boire, Francois-Michel; Reesor, R. Mark; Stentoft, Lars - In: Journal of risk and financial management : JRFM 14 (2021) 8, pp. 1-21

and variance in simulation-and-regression based methods. Our suggested method uses regressions under the importance …

Persistent link: https://www.econbiz.de/10012626320

General error estimates for the Longstaff-Schwartz least-squares Monte Carlo algorithm

Zanger, Daniel Z. - In: Mathematics of operations research 45 (2020) 3, pp. 923-946

Persistent link: https://www.econbiz.de/10012293360

Valuing American options by least-squares randomized quasi-Monte Carlo methods

Wu, Xin-Yu; Zhou, Hai-Lin; Wang, Shouyang - In: Journal of financial engineering 1 (2014) 2, pp. 1-16

Persistent link: https://www.econbiz.de/10010508081

Lower bounds for American option prices with control variates

Boire, François-Michel; Reesor, R. Mark; Stentoft, Lars - In: Operations research letters 51 (2023) 6, pp. 568-574

Persistent link: https://www.econbiz.de/10014465726

Pricing Asian options : a comparison of numerical and simulation approaches twenty years later

Horvath, Akos; Medvegyev, Peter - In: Journal of mathematical finance 6 (2016) 5, pp. 810-841

Persistent link: https://www.econbiz.de/10011657691

A cost of carry-based framework for the Bitcoin futures price modeling

Lian, Yu-Min; Cheng, Chi-Hung; Lin, Shih-Hsun; Lin, … - In: Journal of mathematical finance 9 (2019) 1, pp. 42-53

Persistent link: https://www.econbiz.de/10012116666

Optimizing hedging effectiveness of indian agricultural commodity futures : a simulation approach

Mansabdar, Sanjay; Yaganti, Hussain C. - In: Asia Pacific financial markets 30 (2023) 1, pp. 13-36

Persistent link: https://www.econbiz.de/10014251541

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

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

Efficient propagation of uncertainties in manufacturing supply chains: time buckets, L-leap, and multilevel Monte Carlo methods

Chiang, Nai-Yuan; Lin, Yiqing; Long, Quan - In: Operations research perspectives 7 (2020), pp. 1-15

Uncertainty propagation of large-scale discrete supply chains can be prohibitive when numerous events occur during the simulated period and when discrete-event simulations (DES) are costly. We present a time-bucket method to approximate and accelerate the DES of supply chains. Its stochastic...

Persistent link: https://www.econbiz.de/10012198079