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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
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Least squares kernel smoothing of the implied volatility smile
Fengler, Matthias R.; Wang, Qihua - In: Applied quantitative finance, (pp. 193-207). 2009
Persistent link: https://www.econbiz.de/10003746018
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Calibration of Local Stochastic Volatility Models to Market Smiles : A Monte-Carlo Approach
Henry-Labordere, Pierre - 2011
In this paper, we introduce a new technique for calibrating local volatility extensions of arbitrary multi …-factor stochastic volatility models to market smiles. Although approximate, this technique is both fast and accurate. The procedure is …
Persistent link: https://www.econbiz.de/10013134263
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Least squares Monte Carlo methods in stochastic Volterra rough volatility models
Guerreiro, Henrique; Guerra, João - In: The journal of computational finance 26 (2022) 3, pp. 73-101
Persistent link: https://www.econbiz.de/10014314563
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Deep learning-based least squares forward-backward stochastic differential equation solver for high-dimensional derivative pricing
Liang, Jian; Xu, Zhe; Li, Peter - In: Quantitative finance 21 (2021) 8, pp. 1309-1323
Persistent link: https://www.econbiz.de/10012608649
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Deep Learning-Based Least Square Forward-Backward Stochastic Differential Equation Solver for High-Dimensional Derivative Pricing
Liang, Jian - 2020
We propose a new forward-backward stochastic differential equation solver for highdimensional derivative pricing problems by combining deep learning solver with least square regression technique widely used in the least square Monte Carlo method for the valuation of American options. Our...
Persistent link: https://www.econbiz.de/10012849376
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Numerical procedure for calibration of volatility with American options
Achdou, Yves; Pironneau, Olivier - In: Applied mathematical finance 12 (2005) 3, pp. 201-241
Persistent link: https://www.econbiz.de/10003149331
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Volatilty smile by multilevel least square
Achdou, Yves; Pironneau, Olivier - In: International journal of theoretical and applied finance 5 (2002) 6, pp. 619-643
Persistent link: https://www.econbiz.de/10001743194
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Fitting the smile revisited : a least squares kernel estimator for the implied volatility surface
Fengler, Matthias R. (contributor); Wang, Qihua (contributor) - 2003 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001919426
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Pricing Bounds for VIX Derivatives via Least Squares Monte Carlo
Guo, Ivan - 2016
Derivatives on the Chicago Board Options Exchange volatility index (VIX) have gained significant popularity over the …
Persistent link: https://www.econbiz.de/10012980091