Monte Carlo methods via a dual approach for some discrete time stochastic control problems
Download full text from publisher
References listed on IDEAS
- Philip Protter & Emmanuelle Clément & Damien Lamberton, 2002. "An analysis of a least squares regression method for American option pricing," Finance and Stochastics, Springer, vol. 6(4), pages 449-471.
- Christian Bender, 2011. "Dual pricing of multi-exercise options under volume constraints," Finance and Stochastics, Springer, vol. 15(1), pages 1-26, January.
- L. C. G. Rogers, 2002. "Monte Carlo valuation of American options," Mathematical Finance, Wiley Blackwell, vol. 12(3), pages 271-286.
- repec:spr:compst:v:71:y:2010:i:3:p:503-533 is not listed on IDEAS
- Denis Belomestny & Anastasia Kolodko & John Schoenmakers, 2009. "Regression methods for stochastic control problems and their convergence analysis," SFB 649 Discussion Papers SFB649DP2009-026, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Longstaff, Francis A & Schwartz, Eduardo S, 2001. "Valuing American Options by Simulation: A Simple Least-Squares Approach," University of California at Los Angeles, Anderson Graduate School of Management qt43n1k4jb, Anderson Graduate School of Management, UCLA.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Aleksandrov, Nikolay & Espinoza, Raphael & Gyurkó, Lajos, 2013.
"Optimal oil production and the world supply of oil,"
Journal of Economic Dynamics and Control,
Elsevier, vol. 37(7), pages 1248-1263.
- Nikolay Aleksandrov & lajos Gyurko & Raphael A Espinoza, 2012. "Optimal Oil Production and the World Supply of Oil," IMF Working Papers 12/294, International Monetary Fund.
- Nikolay Aleksandrov & Raphael Espinoza & Lajos Gyurko, 2012. "Optimal Oil Production and the World Supply of Oil," OxCarre Working Papers 092, Oxford Centre for the Analysis of Resource Rich Economies, University of Oxford.
More about this item
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2012-01-03 (All new papers)
- NEP-CMP-2012-01-03 (Computational Economics)
- NEP-ORE-2012-01-03 (Operations Research)
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:arx:papers:1112.4351. 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: (arXiv administrators). General contact details of provider: http://arxiv.org/ .
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.
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.