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We propose a new approach to solve optimal stopping problems via simulation.
Information-based objective functions for active data selection
MacKay, D · 1992
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Valuation of the early-exercise price for options using simulations and nonparametric regression
Carrière, J. F · 1996
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Neural network exploration using optimal experiment design
Cohn, D. A · 1996
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Bayesian CART model search
Chipman, H. A · 1998
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Efficient global optimization of expensive black-box functions
Jones, D · 1998
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Applying experimental design and regression splines to high-dimensional continuous-state stochastic dynamic programming
Chen, V · 1999
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Optimal stopping of Markov processes: Hilbert space theory, approximation algorithms, and an application to pricing high-dimensional financial derivatives
Tsitsiklis, J. N · 1999
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American option pricing: A classificationMonte Carlo (cmc) approach
Picazo, J. A · 2000
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Valuing American options by simulations: a simple least squares approach
Longstaff, F · 2001
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An analysis of a least squares regression algorithm for American option pricing
Clément, E · 2002
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A distribution-free theory of non-parametric regression
Györfi, L · 2002
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Stochastic approximation and recursive algorithms and applications . Vol. 35
Kushner, H. J · 2003
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On the Malliavin approach to Monte Carlo approximation of conditional expectations
Bouchard, B · 2004
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A stochastic mesh method for pricing high-dimensional American options
Broadie, M · 2004
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A variance reduction technique for American option pricing
Moreni, N · 2004
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A quantization tree method for pricing and hedging multidimensional American options
Bally, V · 2005
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Monte Carlo algorithms for optimal stopping and statistical learning
Egloff, D · 2005
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A dynamic look-ahead Monte Carlo algorithm for pricing Bermudan options
Egloff, D · 2007
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On the robustness of the Snell envelope
Del Moral, P · 2011
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Particle learning of Gaussian process models for sequential design and optimization
Gramacy, R · 2011
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Dynamic trees for learning and design
Gramacy, R · 2011
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Sequential design of computer experiments for the estimation of a probability of failure
Bect, J · 2012
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Snell envelope with small probability criteria
Del Moral, P · 2012
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On the consistency of regression based Monte Carlo methods for pricing bermudan options in case of estimated financial models
Fromkorth, A · 2013
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Sequential experiment design for contour estimation from complex computer codes
Ranjan, P · 2008
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A review on regression-based Monte Carlo methods for pricing American options
Kohler, M · 2010
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Pricing of high-dimensional American options by neural networks
Kohler, M · 2010
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Sequential Monte Carlo pricing of American-style options under stochastic volatility models
Rambharat, B. R · 2010
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Belomestny, D · 2011
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Monte-Carlo valorisation of American options: facts and new algorithms to improve existing methods
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