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Primal-Dual Simulation Algorithm for Pricing Multidimensional American Options

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Cited by:

  1. Christopher Beveridge & Mark Joshi, 2011. "Monte Carlo Bounds for Game Options Including Convertible Bonds," Management Science, INFORMS, vol. 57(5), pages 960-974, May.
  2. David B. Brown & James E. Smith, 2014. "Information Relaxations, Duality, and Convex Stochastic Dynamic Programs," Operations Research, INFORMS, vol. 62(6), pages 1394-1415, December.
  3. Mark Broadie & Weiwei Shen, 2016. "High-Dimensional Portfolio Optimization With Transaction Costs," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 19(04), pages 1-49, June.
  4. Ivan Guo & Gregoire Loeper, 2016. "Pricing Bounds for VIX Derivatives via Least Squares Monte Carlo," Papers 1611.00464, arXiv.org.
  5. Kirkby, J. Lars & Nguyen, Dang H. & Nguyen, Duy, 2020. "A general continuous time Markov chain approximation for multi-asset option pricing with systems of correlated diffusions," Applied Mathematics and Computation, Elsevier, vol. 386(C).
  6. Fabian Dickmann & Nikolaus Schweizer, 2014. "Faster Comparison of Stopping Times by Nested Conditional Monte Carlo," Papers 1402.0243, arXiv.org.
  7. Patrik Karlsson & Shashi Jain & Cornelis W. Oosterlee, 2016. "Fast and accurate exercise policies for Bermudan swaptions in the LIBOR market model," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 3(01), pages 1-22, March.
  8. Pierre Henry-Labordere, 2012. "Counterparty Risk Valuation: A Marked Branching Diffusion Approach," Working Papers hal-00677348, HAL.
  9. Flåm, Sjur, 2007. "Option Pricing by Mathematical Programming," Working Papers 2007:10, Lund University, Department of Economics.
  10. David B. Brown & James E. Smith, 2013. "Optimal Sequential Exploration: Bandits, Clairvoyants, and Wildcats," Operations Research, INFORMS, vol. 61(3), pages 644-665, June.
  11. Louis Bhim & Reiichiro Kawai, 2018. "Smooth Upper Bounds For The Price Function Of American Style Options," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 21(01), pages 1-38, February.
  12. Christoph Reisinger & Rasmus Wissmann, 2012. "Numerical Valuation of Derivatives in High-Dimensional Settings via PDE Expansions," Papers 1209.1909, arXiv.org, revised Oct 2013.
  13. Rutger-Jan Lange & Coen N. Teulings, 2021. "The option value of vacant land: Don't build when demand for housing is booming," Tinbergen Institute Discussion Papers 21-022/IV, Tinbergen Institute.
  14. Cosma, Antonio & Galluccio, Stefano & Scaillet, Olivier, 2012. "Valuing American options using fast recursive projections," Working Papers unige:41856, University of Geneva, Geneva School of Economics and Management.
  15. Bünyamin Erkan & Jean-Luc Prigent, 2020. "About Long-Term Cross-Currency Bermuda Swaption Pricing," Computational Economics, Springer;Society for Computational Economics, vol. 56(1), pages 239-262, June.
  16. Roger J. A. Laeven & John G. M. Schoenmakers & Nikolaus F. F. Schweizer & Mitja Stadje, 2020. "Robust Multiple Stopping -- A Pathwise Duality Approach," Papers 2006.01802, arXiv.org, revised Sep 2021.
  17. R. Mark Reesor & T. James Marshall, 2020. "Forest of Stochastic Trees: A Method for Valuing Multiple Exercise Options," JRFM, MDPI, vol. 13(5), pages 1-31, May.
  18. Maier, Sebastian & Pflug, Georg C. & Polak, John W., 2020. "Valuing portfolios of interdependent real options under exogenous and endogenous uncertainties," European Journal of Operational Research, Elsevier, vol. 285(1), pages 133-147.
  19. Andersson, Kristoffer & Oosterlee, Cornelis W., 2021. "A deep learning approach for computations of exposure profiles for high-dimensional Bermudan options," Applied Mathematics and Computation, Elsevier, vol. 408(C).
  20. Santiago R. Balseiro & David B. Brown, 2019. "Approximations to Stochastic Dynamic Programs via Information Relaxation Duality," Operations Research, INFORMS, vol. 67(2), pages 577-597, March.
  21. Anna Kamille Nyegaard & Johan Raunkjær Ott & Mogens Steffensen, 2021. "An Intrinsic Value Approach to Valuation with Forward–Backward Loops in Dividend Paying Stocks," Mathematics, MDPI, vol. 9(13), pages 1-23, June.
  22. Vijay V. Desai & Vivek F. Farias & Ciamac C. Moallemi, 2012. "Pathwise Optimization for Optimal Stopping Problems," Management Science, INFORMS, vol. 58(12), pages 2292-2308, December.
  23. Andersson, Kristoffer & Oosterlee, Cornelis W., 2021. "Deep learning for CVA computations of large portfolios of financial derivatives," Applied Mathematics and Computation, Elsevier, vol. 409(C).
  24. Nikolai Dokuchaev, 2016. "First Order BSPDEs in higher dimension for optimal control problems," Papers 1603.06825, arXiv.org, revised Oct 2018.
  25. Mark Broadie & Menghui Cao, 2008. "Improved lower and upper bound algorithms for pricing American options by simulation," Quantitative Finance, Taylor & Francis Journals, vol. 8(8), pages 845-861.
  26. David B. Brown & James E. Smith & Peng Sun, 2010. "Information Relaxations and Duality in Stochastic Dynamic Programs," Operations Research, INFORMS, vol. 58(4-part-1), pages 785-801, August.
  27. Christian Bayer & Denis Belomestny & Paul Hager & Paolo Pigato & John Schoenmakers, 2020. "Randomized optimal stopping algorithms and their convergence analysis," Papers 2002.00816, arXiv.org.
  28. Vikranth Lokeshwar & Vikram Bhardawaj & Shashi Jain, 2019. "Neural network for pricing and universal static hedging of contingent claims," Papers 1911.11362, arXiv.org.
  29. Ernst, Philip A. & Rogers, L.C.G. & Zhou, Quan, 2017. "The value of foresight," Stochastic Processes and their Applications, Elsevier, vol. 127(12), pages 3913-3927.
  30. Christian Bender & Christian Gärtner & Nikolaus Schweizer, 2018. "Pathwise Dynamic Programming," Mathematics of Operations Research, INFORMS, vol. 43(3), pages 965-965, August.
  31. Zineb El Filali Ech-Chafiq & Pierre Henry-Labordere & Jérôme Lelong, 2021. "Pricing Bermudan options using regression trees/random forests," Working Papers hal-03436046, HAL.
  32. J'er^ome Lelong, 2016. "Pricing American options using martingale bases," Papers 1604.03317, arXiv.org.
  33. Volker Krätschmer & Marcel Ladkau & Roger J. A. Laeven & John G. M. Schoenmakers & Mitja Stadje, 2018. "Optimal Stopping Under Uncertainty in Drift and Jump Intensity," Mathematics of Operations Research, INFORMS, vol. 43(4), pages 1177-1209, November.
  34. Christian Bender & Nikolaus Schweizer & Jia Zhuo, 2013. "A primal-dual algorithm for BSDEs," Papers 1310.3694, arXiv.org, revised Sep 2014.
  35. Alexander Boogert & Cyriel de Jong, 2007. "Gas Storage Valuation Using a Monte Carlo Method," Birkbeck Working Papers in Economics and Finance 0704, Birkbeck, Department of Economics, Mathematics & Statistics.
  36. Jiefei Yang & Guanglian Li, 2023. "On Sparse Grid Interpolation for American Option Pricing with Multiple Underlying Assets," Papers 2309.08287, arXiv.org, revised Sep 2023.
  37. Denis Belomestny & Stefan Hafner & Mikhail Urusov, 2016. "Regression-based complexity reduction of the nested Monte Carlo methods," Papers 1611.06344, arXiv.org, revised Jun 2018.
  38. Mike Giles & Lukasz Szpruch, 2012. "Multilevel Monte Carlo methods for applications in finance," Papers 1212.1377, arXiv.org.
  39. Denis Belomestny & Grigori Milstein & Vladimir Spokoiny, 2009. "Regression methods in pricing American and Bermudan options using consumption processes," Quantitative Finance, Taylor & Francis Journals, vol. 9(3), pages 315-327.
  40. Jin, Xing & Li, Xun & Tan, Hwee Huat & Wu, Zhenyu, 2013. "A computationally efficient state-space partitioning approach to pricing high-dimensional American options via dimension reduction," European Journal of Operational Research, Elsevier, vol. 231(2), pages 362-370.
  41. Alessio Trivella & Danial Mohseni-Taheri & Selvaprabu Nadarajah, 2023. "Meeting Corporate Renewable Power Targets," Management Science, INFORMS, vol. 69(1), pages 491-512, January.
  42. Dragos Florin Ciocan & Velibor V. Mišić, 2022. "Interpretable Optimal Stopping," Management Science, INFORMS, vol. 68(3), pages 1616-1638, March.
  43. Denis Belomestny & Christian Bender & John Schoenmakers, 2009. "True Upper Bounds For Bermudan Products Via Non‐Nested Monte Carlo," Mathematical Finance, Wiley Blackwell, vol. 19(1), pages 53-71, January.
  44. Beveridge, Christopher & Joshi, Mark & Tang, Robert, 2013. "Practical policy iteration: Generic methods for obtaining rapid and tight bounds for Bermudan exotic derivatives using Monte Carlo simulation," Journal of Economic Dynamics and Control, Elsevier, vol. 37(7), pages 1342-1361.
  45. Wei, Wei & Zhu, Dan, 2022. "Generic improvements to least squares monte carlo methods with applications to optimal stopping problems," European Journal of Operational Research, Elsevier, vol. 298(3), pages 1132-1144.
  46. Peter W. Duck & Chao Yang & David P. Newton & Martin Widdicks, 2009. "Singular Perturbation Techniques Applied To Multiasset Option Pricing," Mathematical Finance, Wiley Blackwell, vol. 19(3), pages 457-486, July.
  47. Rutger-Jan Lange & Coen Teulings, 2018. "The option value of vacant land and the optimal timing of city extensions," Tinbergen Institute Discussion Papers 18-033/III, Tinbergen Institute.
  48. Helin Zhu & Fan Ye & Enlu Zhou, 2015. "Fast estimation of true bounds on Bermudan option prices under jump-diffusion processes," Quantitative Finance, Taylor & Francis Journals, vol. 15(11), pages 1885-1900, November.
  49. Marjon Ruijter & Kees Oosterlee, 2012. "Two-dimensional Fourier cosine series expansion method for pricing financial options," CPB Discussion Paper 225, CPB Netherlands Bureau for Economic Policy Analysis.
  50. Nicholas Andrew Yap Swee Guan, 2015. "Regression and Convex Switching System Methods for Stochastic Control Problems with Applications to Multiple-Exercise Options," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 5-2015.
  51. A. Max Reppen & H. Mete Soner & Valentin Tissot-Daguette, 2023. "Deep stochastic optimization in finance," Digital Finance, Springer, vol. 5(1), pages 91-111, March.
  52. Mike Ludkovski, 2020. "mlOSP: Towards a Unified Implementation of Regression Monte Carlo Algorithms," Papers 2012.00729, arXiv.org, revised Oct 2022.
  53. Jérôme Lelong, 2019. "Pricing path-dependent Bermudan options using Wiener chaos expansion: an embarrassingly parallel approach," Working Papers hal-01983115, HAL.
  54. Helin Zhu & Fan Ye & Enlu Zhou, 2013. "Fast Estimation of True Bounds on Bermudan Option Prices under Jump-diffusion Processes," Papers 1305.4321, arXiv.org.
  55. Christian Bayer & Luca Pelizzari & John Schoenmakers, 2023. "Primal and dual optimal stopping with signatures," Papers 2312.03444, arXiv.org.
  56. Christian Bayer & Martin Redmann & John Schoenmakers, 2018. "Dynamic programming for optimal stopping via pseudo-regression," Papers 1808.04725, arXiv.org, revised Apr 2019.
  57. Ivan Guo & Nicolas Langren'e & Jiahao Wu, 2023. "Simultaneous upper and lower bounds of American option prices with hedging via neural networks," Papers 2302.12439, arXiv.org, revised Apr 2024.
  58. A. Max Reppen & H. Mete Soner & Valentin Tissot-Daguette, 2022. "Deep Stochastic Optimization in Finance," Papers 2205.04604, arXiv.org.
  59. Jain, Shashi & Oosterlee, Cornelis W., 2015. "The Stochastic Grid Bundling Method: Efficient pricing of Bermudan options and their Greeks," Applied Mathematics and Computation, Elsevier, vol. 269(C), pages 412-431.
  60. Mark Broadie & Jerome B. Detemple, 2004. "ANNIVERSARY ARTICLE: Option Pricing: Valuation Models and Applications," Management Science, INFORMS, vol. 50(9), pages 1145-1177, September.
  61. David Hobson & Anthony Neuberger, 2017. "Model uncertainty and the pricing of American options," Finance and Stochastics, Springer, vol. 21(1), pages 285-329, January.
  62. Ron Kaniel & Stathis Tompaidis & Alexander Zemlianov, 2008. "Efficient Computation of Hedging Parameters for Discretely Exercisable Options," Operations Research, INFORMS, vol. 56(4), pages 811-826, August.
  63. Jérôme Lelong, 2018. "Dual pricing of American options by Wiener chaos expansion," Post-Print hal-01299819, HAL.
  64. Kyoung-Sook Moon & Yunju Jeong & Hongjoong Kim, 2016. "An Efficient Binomial Method for Pricing Asian Options," ECONOMIC COMPUTATION AND ECONOMIC CYBERNETICS STUDIES AND RESEARCH, Faculty of Economic Cybernetics, Statistics and Informatics, vol. 50(2), pages 151-164.
  65. Daniel R. Jiang & Lina Al-Kanj & Warren B. Powell, 2020. "Optimistic Monte Carlo Tree Search with Sampled Information Relaxation Dual Bounds," Operations Research, INFORMS, vol. 68(6), pages 1678-1697, November.
  66. Sebastian Becker & Patrick Cheridito & Arnulf Jentzen & Timo Welti, 2019. "Solving high-dimensional optimal stopping problems using deep learning," Papers 1908.01602, arXiv.org, revised Aug 2021.
  67. David Hobson & Anthony Neuberger, 2016. "On the value of being American," Papers 1604.02269, arXiv.org.
  68. Doan, Viet_Dung & Gaikwad, Abhijeet & Bossy, Mireille & Baude, Françoise & Stokes-Rees, Ian, 2010. "Parallel pricing algorithms for multi-dimensional Bermudan/American options using Monte Carlo methods," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 81(3), pages 568-577.
  69. L. C. G. Rogers, 2015. "Bermudan options by simulation," Papers 1508.06117, arXiv.org, revised Jan 2016.
  70. Guoming Lai & François Margot & Nicola Secomandi, 2010. "An Approximate Dynamic Programming Approach to Benchmark Practice-Based Heuristics for Natural Gas Storage Valuation," Operations Research, INFORMS, vol. 58(3), pages 564-582, June.
  71. Nan Chen & Yanchu Liu, 2014. "American Option Sensitivities Estimation via a Generalized Infinitesimal Perturbation Analysis Approach," Operations Research, INFORMS, vol. 62(3), pages 616-632, June.
  72. Christian Bender & Nikolaus Schweizer, 2019. "`Regression Anytime' with Brute-Force SVD Truncation," Papers 1908.08264, arXiv.org, revised Oct 2020.
  73. Arun Chockalingam & Kumar Muthuraman, 2011. "American Options Under Stochastic Volatility," Operations Research, INFORMS, vol. 59(4), pages 793-809, August.
  74. Xiaoqun Wang & Ian H. Sloan, 2011. "Quasi-Monte Carlo Methods in Financial Engineering: An Equivalence Principle and Dimension Reduction," Operations Research, INFORMS, vol. 59(1), pages 80-95, February.
  75. Jérôme Lelong, 2016. "Dual pricing of American options by Wiener chaos expansion," Working Papers hal-01299819, HAL.
  76. Denis Belomestny & Volker Krätschmer, 2017. "Optimal Stopping Under Probability Distortions," Mathematics of Operations Research, INFORMS, vol. 42(3), pages 806-833, August.
  77. Lukas Gonon, 2022. "Deep neural network expressivity for optimal stopping problems," Papers 2210.10443, arXiv.org.
  78. Jérôme Detemple, 2014. "Optimal Exercise for Derivative Securities," Annual Review of Financial Economics, Annual Reviews, vol. 6(1), pages 459-487, December.
  79. Ivan Guo & Gregoire Loeper, 2018. "Pricing Bounds for Volatility Derivatives via Duality and Least Squares Monte Carlo," Journal of Optimization Theory and Applications, Springer, vol. 179(2), pages 598-617, November.
  80. Ruimeng Hu, 2019. "Deep Learning for Ranking Response Surfaces with Applications to Optimal Stopping Problems," Papers 1901.03478, arXiv.org, revised Mar 2020.
  81. Mark Broadie & Weiwei Shen, 2017. "Numerical solutions to dynamic portfolio problems with upper bounds," Computational Management Science, Springer, vol. 14(2), pages 215-227, April.
  82. Christian Bender & Christian Gaertner & Nikolaus Schweizer, 2016. "Pathwise Iteration for Backward SDEs," Papers 1605.07500, arXiv.org, revised Jun 2016.
  83. Roberto Baviera & Lorenzo Giada, 2013. "A perturbative approach to Bermudan options pricing with applications," Quantitative Finance, Taylor & Francis Journals, vol. 13(2), pages 255-263, January.
  84. John Schoenmakers & Junbo Huang & Jianing Zhang, 2011. "Optimal dual martingales, their analysis and application to new algorithms for Bermudan products," Papers 1111.6038, arXiv.org, revised Feb 2012.
  85. Ravi Kashyap, 2022. "Options as Silver Bullets: Valuation of Term Loans, Inventory Management, Emissions Trading and Insurance Risk Mitigation using Option Theory," Annals of Operations Research, Springer, vol. 315(2), pages 1175-1215, August.
  86. Pierre Henry-Labordere, 2012. "Counterparty Risk Valuation: A Marked Branching Diffusion Approach," Papers 1203.2369, arXiv.org.
  87. Christian Bayer & Ra'ul Tempone & Soren Wolfers, 2018. "Pricing American Options by Exercise Rate Optimization," Papers 1809.07300, arXiv.org, revised Aug 2019.
  88. Cosma, Antonio & Galluccio, Stefano & Pederzoli, Paola & Scaillet, Olivier, 2020. "Early Exercise Decision in American Options with Dividends, Stochastic Volatility, and Jumps," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 55(1), pages 331-356, February.
  89. David B. Brown & Martin B. Haugh, 2017. "Information Relaxation Bounds for Infinite Horizon Markov Decision Processes," Operations Research, INFORMS, vol. 65(5), pages 1355-1379, October.
  90. A. Max Reppen & H. Mete Soner & Valentin Tissot-Daguette, 2022. "Neural Optimal Stopping Boundary," Papers 2205.04595, arXiv.org, revised May 2023.
  91. Leonid Kogan & Indrajit Mitra, 2021. "Near-Rational Equilibria in Heterogeneous-Agent Models: A Verification Method," FRB Atlanta Working Paper 2021-16, Federal Reserve Bank of Atlanta.
  92. Denis Belomestny & John Schoenmakers, 2021. "From optimal martingales to randomized dual optimal stopping," Papers 2102.01533, arXiv.org.
  93. Burcu Aydoğan & Ümit Aksoy & Ömür Uğur, 2018. "On the methods of pricing American options: case study," Annals of Operations Research, Springer, vol. 260(1), pages 79-94, January.
  94. Zineb El Filali Ech-Chafiq & Pierre Henry Labordère & Jérôme Lelong, 2023. "Pricing Bermudan options using regression trees/random forests," Post-Print hal-03436046, HAL.
  95. Magnus Perninge & Lennart Söder, 2014. "Irreversible investments with delayed reaction: an application to generation re-dispatch in power system operation," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 79(2), pages 195-224, April.
  96. David A. Goldberg & Yilun Chen, 2018. "Beating the curse of dimensionality in options pricing and optimal stopping," Papers 1807.02227, arXiv.org, revised Aug 2018.
  97. J'er^ome Lelong, 2019. "Pricing path-dependent Bermudan options using Wiener chaos expansion: an embarrassingly parallel approach," Papers 1901.05672, arXiv.org, revised Jul 2020.
  98. John Schoenmakers, 2012. "A pure martingale dual for multiple stopping," Finance and Stochastics, Springer, vol. 16(2), pages 319-334, April.
  99. Christian Bender & John Schoenmakers & Jianing Zhang, 2011. "Dual representations for general multiple stopping problems," Papers 1112.2638, arXiv.org.
  100. Li, Chenxu & Ye, Yongxin, 2019. "Pricing and Exercising American Options: an Asymptotic Expansion Approach," Journal of Economic Dynamics and Control, Elsevier, vol. 107(C), pages 1-1.
  101. Secomandi, Nicola & Seppi, Duane J., 2014. "Real Options and Merchant Operations of Energy and Other Commodities," Foundations and Trends(R) in Technology, Information and Operations Management, now publishers, vol. 6(3-4), pages 161-331, July.
  102. Jalaj Bhandari & Daniel Russo & Raghav Singal, 2021. "A Finite Time Analysis of Temporal Difference Learning with Linear Function Approximation," Operations Research, INFORMS, vol. 69(3), pages 950-973, May.
  103. Lokeshwar, Vikranth & Bharadwaj, Vikram & Jain, Shashi, 2022. "Explainable neural network for pricing and universal static hedging of contingent claims," Applied Mathematics and Computation, Elsevier, vol. 417(C).
  104. Phelim P. Boyle & Adam W. Kolkiewicz & Ken Seng Tan, 2013. "Pricing Bermudan options using low-discrepancy mesh methods," Quantitative Finance, Taylor & Francis Journals, vol. 13(6), pages 841-860, May.
  105. Maximilian Mair & Jan Maruhn, 2013. "On the primal-dual algorithm for callable Bermudan options," Review of Derivatives Research, Springer, vol. 16(1), pages 79-110, April.
  106. Jori Hoencamp & Shashi Jain & Drona Kandhai, 2023. "A Semi-Static Replication Method for Bermudan Swaptions under an Affine Multi-Factor Model," Risks, MDPI, vol. 11(10), pages 1-41, September.
  107. Nicolas Essis-Breton & Patrice Gaillardetz, 2020. "Fast Lower and Upper Estimates for the Price of Constrained Multiple Exercise American Options by Single Pass Lookahead Search and Nearest-Neighbor Martingale," Papers 2002.11258, arXiv.org.
  108. Ravi Kashyap, 2016. "Options as Silver Bullets: Valuation of Term Loans, Inventory Management, Emissions Trading and Insurance Risk Mitigation using Option Theory," Papers 1609.01274, arXiv.org, revised Mar 2022.
  109. Juri Hinz & Tanya Tarnopolskaya & Jeremy Yee, 2020. "Efficient algorithms of pathwise dynamic programming for decision optimization in mining operations," Annals of Operations Research, Springer, vol. 286(1), pages 583-615, March.
  110. Jin, Xing & Yang, Cheng-Yu, 2016. "Efficient estimation of lower and upper bounds for pricing higher-dimensional American arithmetic average options by approximating their payoff functions," International Review of Financial Analysis, Elsevier, vol. 44(C), pages 65-77.
  111. Christian Bayer & Martin Eigel & Leon Sallandt & Philipp Trunschke, 2021. "Pricing high-dimensional Bermudan options with hierarchical tensor formats," Papers 2103.01934, arXiv.org, revised Mar 2021.
  112. Mark S. Joshi, 2016. "Analysing the bias in the primal-dual upper bound method for early exercisable derivatives: bounds, estimation and removal," Quantitative Finance, Taylor & Francis Journals, vol. 16(4), pages 519-533, April.
  113. David B. Brown & James E. Smith, 2011. "Dynamic Portfolio Optimization with Transaction Costs: Heuristics and Dual Bounds," Management Science, INFORMS, vol. 57(10), pages 1752-1770, October.
  114. Bradley Sturt, 2021. "A nonparametric algorithm for optimal stopping based on robust optimization," Papers 2103.03300, arXiv.org, revised Mar 2023.
  115. Marjon Ruijter & Kees Oosterlee, 2012. "Two-dimensional Fourier cosine series expansion method for pricing financial options," CPB Discussion Paper 225.rdf, CPB Netherlands Bureau for Economic Policy Analysis.
  116. Denis Belomestny & John Schoenmakers & Fabian Dickmann, 2013. "Multilevel dual approach for pricing American style derivatives," Finance and Stochastics, Springer, vol. 17(4), pages 717-742, October.
  117. Yi Yang & Jianan Wang & Youhua Chen & Zhiyuan Chen & Yanchu Liu, 2020. "Optimal procurement strategies for contractual assembly systems with fluctuating procurement price," Annals of Operations Research, Springer, vol. 291(1), pages 1027-1059, August.
  118. Nadarajah, Selvaprabu & Margot, François & Secomandi, Nicola, 2017. "Comparison of least squares Monte Carlo methods with applications to energy real options," European Journal of Operational Research, Elsevier, vol. 256(1), pages 196-204.
  119. Kohler Michael & Krzyzak Adam & Walk Harro, 2009. "Upper bounds for Bermudan options on Markovian data using nonparametric regression and a reduced number of nested Monte Carlo steps," Statistics & Risk Modeling, De Gruyter, vol. 26(4), pages 275-288, July.
  120. Nicholas Andrew Yap Swee Guan, 2015. "Regression and Convex Switching System Methods for Stochastic Control Problems with Applications to Multiple-Exercise Options," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 26, July-Dece.
  121. Bender Christian & Kolodko Anastasia & Schoenmakers John, 2006. "Policy iteration for american options: overview," Monte Carlo Methods and Applications, De Gruyter, vol. 12(5), pages 347-362, November.
  122. Indrajit Mitra & Leonid Kogan, 2014. "Accuracy Verification for Numerical Solutions of Equilibrium Models," 2014 Meeting Papers 423, Society for Economic Dynamics.
  123. Cortazar, Gonzalo & Naranjo, Lorenzo & Sainz, Felipe, 2021. "Optimal decision policy for real options under general Markovian dynamics," European Journal of Operational Research, Elsevier, vol. 288(2), pages 634-647.
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