High Dimensional American Options
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- Type
- dissertation
- Published
- 2005-01-01
- Cited by
- 13
- References
- 290
- Access
- Open access
- OpenAlex
- https://openalex.org/W2160984392
- Semantic Scholar
- https://api.semanticscholar.org/CorpusID:154390722
Keywords
Monte Carlo methods for option pricing, Barrier option, Laplace transform, Valuation of options, Exotic option
References
- A quantization algorithm for solving multi-dimensional Optimal Stopping problems
- Licensing Schemes in the Production and Distribution of Open Source Software: An Empirical Investigation
- State Space Symmetry and Two-Factor Option Pricing Models
- The magic Cauldron
- Numerische Methoden für hochdimensionale parabolische Gleichungen am Beispiel von Optionspreisaufgaben
- American Options and the Lsm Algorithm: Quasi-Random Sequences and Brownian Bridges
- Option Pricing: Valuation Models and Applications
- Valuing American Options in a Path Simulation Model
- Financial Instrument Pricing Using C
- Patterns for concurrent and networked objects
- Buschmann, Frank; Meunier, Regine; Rohnert, Hans; Sommerlad, Peter; Stal, Michael. Pattern-oriented software architecture: a system of patterns, John Wiley & Sons Ltd, 1996
- Essai sur le don
- Finite Element Modelling of Exotic Options
- Arbitrage Theory in Continuous Time
- High Dimensional Radial Barrier Options
- Extreme programming explained - embrace change
- On the theory of option pricing
- Monte Carlo methods in finance
- An Asymptotic Analysis of an American Call Option with Small Volatility
- The complete guide to option pricing formulas
Cited by
- Multi-asset option pricing problems : a variational approach
- Credit Value Adjustment for Multi-Asset Options
- Pricing American options with Mellin transforms
- Optimal Stopping for Strong Markov Processes : Explicit solutions and verification theorems for diffusions, multidimensional diffusions, and jump-processes.
- INTEGRAL TRANSFORMS AND AMERICAN OPTIONS: LAPLACE AND MELLIN GO GREEN
- On modified Mellin transforms, Gauss-Laguerre quadrature, and the valuation of American call options
- Multi-scale methods for stochastic differential equations
- Numerical Methods for Option Pricing under the Two-Factor Models
- Solving high-dimensional optimal stopping problems using deep learning
- Numerical Methods for Hamilton-Jacobi-Bellman Equations with Applications
- Solving Elliptic Equations with Brownian Motion: Bias Reduction and Temporal Difference Learning
- Deep neural network framework based on backward stochastic differential equations for pricing and hedging American options in high dimensions
- Efficient pricing and hedging of high-dimensional American options using deep recurrent networks
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