A Quantization Tree Method For Pricing And Hedging Multidimensional American Options
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- repec:spr:compst:v:70:y:2009:i:1:p:47-75 is not listed on IDEAS
- Corlay Sylvain & Pagès Gilles, 2015. "Functional quantization-based stratified sampling methods," Monte Carlo Methods and Applications, De Gruyter, vol. 21(1), pages 1-32, March.
- Isabelle Charlier & Davy Paindaveine, 2014. "Conditional Quantile Estimation through Optimal Quantization," Working Papers ECARES ECARES 2014-28, ULB -- Universite Libre de Bruxelles.
- Christian Bayer & Juho Happola & Ra'ul Tempone, 2017. "Implied Stopping Rules for American Basket Options from Markovian Projection," Papers 1705.00558, arXiv.org, revised Jun 2017.
- Georg Pflug & Alois Pichler, 2015. "Dynamic generation of scenario trees," Computational Optimization and Applications, Springer, vol. 62(3), pages 641-668, December.
- repec:eee:spapps:v:128:y:2018:i:3:p:847-883 is not listed on IDEAS
- Polynice Oyono Ngou & Cody Hyndman, 2014. "A Fourier interpolation method for numerical solution of FBSDEs: Global convergence, stability, and higher order discretizations," Papers 1410.8595, arXiv.org, revised Jun 2016.
- repec:eee:apmaco:v:269:y:2015:i:c:p:412-431 is not listed on IDEAS
- Sagna, Abass, 2011. "Pricing of barrier options by marginal functional quantization," Monte Carlo Methods and Applications, De Gruyter, vol. 17(4), pages 371-398, December.
- 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.
- Lange, Rutger-Jan & Teulings, Coen N, 2018. "The option value of vacant land and the optimal timing of city extensions," CEPR Discussion Papers 12847, C.E.P.R. Discussion Papers.
- Denis Belomestny & Grigori Milstein & Vladimir Spokoiny, 2009.
"Regression methods in pricing American and Bermudan options using consumption processes,"
Taylor & Francis Journals, vol. 9(3), pages 315-327.
- Denis Belomestny & Grigori N. Milstein & Vladimir Spokoiny, 2006. "Regression methods in pricing American and Bermudan options using consumption processes," SFB 649 Discussion Papers SFB649DP2006-051, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Bruno Bouchard & Jean-François Chassagneux & Géraldine Bouveret, 2016. "A backward dual representation for the quantile hedging of Bermudan options," Post-Print hal-01069270, HAL.
- Arnaud Porchet & Nizar Touzi & Xavier Warin, 2009. "Valuation of power plants by utility indifference and numerical computation," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 70(1), pages 47-75, August.
- Barty Kengy & Girardeau Pierre & Strugarek Cyrille & Roy Jean-Sébastien, 2008. "Application of kernel-based stochastic gradient algorithms to option pricing," Monte Carlo Methods and Applications, De Gruyter, vol. 14(2), pages 99-127, January.
More about this item
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bla:mathfi:v:15:y:2005:i:1:p:119-168. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Wiley Content Delivery) or (Christopher F. Baum). General contact details of provider: http://www.blackwellpublishing.com/journal.asp?ref=0960-1627 .
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
We have no references for this item. You can help adding them by using this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.