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Upper bounds for Bermudan options on Markovian data using nonparametric regression and a reduced number of nested Monte Carlo steps. (2009). Harro, Walk ; Adam, Krzyzak ; Michael, Kohler .
In: Statistics & Risk Modeling.
RePEc:bpj:strimo:v:26:y:2009:i:4:p:275-288:n:3.

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  7. Glasserman, P. (2004). Monte Carlo Methods in Financial Engineering. Springer, New York.
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  8. Györfi, L., Kohler, M., Krzyżak, A., and Walk, H. (2002). A Distribution-Free Theory of Nonparametric Regression. Springer Series in Statistics, Springer, New York. Brought to you by | Jose Manuel Barrueco/CitEc Authenticated Download Date | 1/9/17 12:16 PM Kohler -- Krzyżak -- Walk
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  9. Haugh, M., and Kogan, L. (2004). Pricing American options: A duality approach. Operations Research 52, 258–270.

  10. Jamshidian, F. (2007). The duality of optimal exercise and domineering claims: A Doob-Meyer decomposition approach to the snell envelope. Stochastics 79, 27– 60.
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  12. Kohler, M. (2008b). Universally consistent upper bounds for Bermudan options based on Monte Carlo and nonparametric regression. Submitted for publication.
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  13. Kohler, M., Krzyżak, A., and Todorovic, N. (2006). Pricing of high-dimensional American options by neural networks. To appear in Mathematical Finance 2009.
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  15. Rogers, L. (2001). Monte Carlo valuation of American options. Mathematical Finance 12, 271–286.
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  16. Shiryayev, A. N. (1978). Optimal Stopping Rules. Applications of Mathematics, Springer, New York.
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  17. Tsitsiklis, J. N., and Van Roy, B. (1999). Optimal stopping of Markov processes: Hilbert space theory, approximation algorithms, and an application to pricing highdimensional financial derivatives. IEEE Trans. Autom. Control 44, 1840–1851. Michael Kohler Fachbereich Mathematik Technische Universität Darmstadt Schlossgartenstr. 7 64289 Darmstadt Germany kohler@mathematik.tu-darmstadt.de Adam Krzyżak Department of Computer Science and Software Engineering Concordia University 1455 De Maisonneuve Blvd. West Montreal, Quebec Canada H3G 1M8 krzyzak@cs.concordia.ca Harro Walk Fachbereich Mathematik Universität Stuttgart Pfaffenwaldring 57 70569 Stuttgart Germany walk@mathematik.uni-stuttgart.de Brought to you by | Jose Manuel Barrueco/CitEc Authenticated Download Date | 1/9/17 12:16 PM
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