Fetching the paper…
Reading the bibliography…
In this work, we propose a new policy iteration algorithm for pricing Bermudan options when the payoff process cannot be written as a function of a lifted Markov process.
Regression methods for pricing complex American-style options
J. Tsitsiklis and B. V. Roy · 1901
Earlier work this paper cites.
Efficient procedures for valuing European and American path-dependent options
J. C. Hull and A. D. White · 1993
Earlier work this paper cites.
Valuation of the early-exercise price for options using simulations and nonparametric regression
J. F. Carriere · 1996
Earlier work this paper cites.
Analysis on Wiener space and anticipating stochastic calculus
D. Nualart · 1998
Earlier work this paper cites.
Valuing American options by simulation : A simple least-square approach
F. Longstaff and R. Schwartz · 2001
Earlier work this paper cites.
An analysis of a least squares regression method for American option pricing
E. Clément, D. Lamberton, and P. Protter · 2002
Earlier work this paper cites.
Simulation for American options: regression now or regression later?
P. Glasserman and B. Yu · 2002
Earlier work this paper cites.
A quantization algorithm for solving multidimensional discrete-time optimal stopping problems
V. Bally and G. Pages · 2003
Earlier work this paper cites.
”Gridifying” classification Monte-Carlo algorithm for pricing high-dimensional Bermudan-American options
V. Dung Doan, A. Gaikwad, F. Baude, and M. Bossy · 2008
Earlier work this paper cites.
A fast and accurate FFT-based method for pricing early-exercise options under Lévy processes
R. Lord, F. Fang, F. Bervoets, and C. W. Oosterlee · 2008
Cited alongside, same era.
Pricing early-exercise and discrete barrier options by fourier-cosine series expansions
F. Fang and C. W. Oosterlee · 2009
Cited alongside, same era.
Parallel pricing algorithms for multimensional Bermudan/American options using Monte Carlo methods
V. Dung Doan, A. Gaiwad, M. Bossy, F. Baude, and I. Stokes-Rees · 2010
Cited alongside, same era.
A finite-dimensional approximation for pricing moving average options
M. Bernhart, P. Tankov, and X. Warin · 2011
Cited alongside, same era.
GPGPUs in computational finance: massive parallel computing for American style options
G. Pagès and B. Wilbertz · 2011
Cited alongside, same era.
Towards parallel and distributed computing on GPU for American basket option pricing
Stratified regression Monte-Carlo scheme for semilinear PDEs and BSDEs with large scale parallelization on GPUs
E. Gobet, J. G. López-Salas, P. Turkedjiev, and C. Vázquez · 2016
Later among the works it cites.
The parareal algorithm for American options
G. Pagès, O. Pironneau, and G. Sall · 2016
Later among the works it cites.
Simulation of BSDEs with jumps by Wiener chaos expansion
C. Geiss and C. Labart · 2017
Later among the works it cites.
Pnl : a free scientific library
J. Lelong · 2017
Later among the works it cites.
Regress-later Monte-Carlo for optimal inventory control with applications in energy
A. Balata and J. Palczewski · 2018
Later among the works it cites.
Dual pricing of American options by Wiener chaos expansion
J. Lelong · 2018
alphaXiv searches the wider corpus for related work and actual follow-ups.
alphaXiv is searching for related work…
M. Benguigui and F. Baude · 2012
Cited alongside, same era.
Monte-carlo valuation of American options: facts and new algorithms to improve existing methods
B. Bouchard and X. Warin · 2012
Cited alongside, same era.
Multi-asset American options and parallel quantization
A. L. Bronstein, G. Pagès, and J. Portès · 2013
Cited alongside, same era.
Deep optimal stopping
S. Becker, P. Cheridito, and A. Jentzen
Cited in the paper.
Solving high-dimensional optimal stopping problems using deep learning, 2019b
S. Becker, P. Cheridito, A. Jentzen, and T. Welti
Cited in the paper.
Later among the works it cites.
Numerical Probability: An Introduction with Applications to Finance
G. Pagès · 2018
Later among the works it cites.
Number of paths versus number of basis functions in American option pricing
P. Glasserman and B. Yu · 2090
Closest in time.