1. Pricing American options under rough volatility using deep-signatures and signature-kernels. (2025). Pelizzari, Luca ; Bayer, Christian ; Zhu, Jia-Jie.
   In: Papers.
   RePEc:arx:papers:2501.06758.

   Full description at Econpapers || Download paper

2. Primal and dual optimal stopping with signatures. (2025). Pelizzari, Luca ; Schoenmakers, John ; Bayer, Christian.
   In: Papers.
   RePEc:arx:papers:2312.03444.

   Full description at Econpapers || Download paper

3. Meeting Corporate Renewable Power Targets. (2023). Nadarajah, Selvaprabu ; Mohseni-Taheri, Danial ; Trivella, Alessio.
   In: Management Science.
   RePEc:inm:ormnsc:v:69:y:2023:i:1:p:491-512.

   Full description at Econpapers || Download paper

4. A nonparametric algorithm for optimal stopping based on robust optimization. (2023). Sturt, Bradley.
   In: Papers.
   RePEc:arx:papers:2103.03300.

   Full description at Econpapers || Download paper

5. Solving optimal stopping problems under model uncertainty via empirical dual optimisation. (2022). Kratschmer, Volker ; Hubner, Tobias ; Belomestny, Denis.
   In: Finance and Stochastics.
   RePEc:spr:finsto:v:26:y:2022:i:3:d:10.1007_s00780-022-00480-z.

   Full description at Econpapers || Download paper

6. Optimal liquidation problem in illiquid markets. (2022). Sadoghi, Amirhossein ; Vecer, Jan.
   In: Post-Print.
   RePEc:hal:journl:hal-03696768.

   Full description at Econpapers || Download paper

7. Generic improvements to least squares monte carlo methods with applications to optimal stopping problems. (2022). Wei, Wei ; Zhu, Dan.
   In: European Journal of Operational Research.
   RePEc:eee:ejores:v:298:y:2022:i:3:p:1132-1144.

   Full description at Econpapers || Download paper

8. Optimal liquidation problem in illiquid markets. (2022). Vecer, Jan ; Sadoghi, Amirhossein.
   In: European Journal of Operational Research.
   RePEc:eee:ejores:v:296:y:2022:i:3:p:1050-1066.

   Full description at Econpapers || Download paper

9. Pricing American Options under High-Dimensional Models with Recursive Adaptive Sparse Expectations*. (2021). Scheidegger, Simon ; Treccani, Adrien.
   In: Journal of Financial Econometrics.
   RePEc:oup:jfinec:v:19:y:2021:i:2:p:258-290..

   Full description at Econpapers || Download paper

10. A Finite Time Analysis of Temporal Difference Learning with Linear Function Approximation. (2021). Singal, Raghav ; Bhandari, Jalaj ; Russo, Daniel.
    In: Operations Research.
    RePEc:inm:oropre:v:69:y:2021:i:3:p:950-973.

    Full description at Econpapers || Download paper

11. The Bayesian Prophet: A Low-Regret Framework for Online Decision Making. (2021). Banerjee, Siddhartha ; Vera, Alberto.
    In: Management Science.
    RePEc:inm:ormnsc:v:67:y:2021:i:3:p:1368-1391.

    Full description at Econpapers || Download paper

12. From optimal martingales to randomized dual optimal stopping. (2021). Schoenmakers, John ; Belomestny, Denis.
    In: Papers.
    RePEc:arx:papers:2102.01533.

    Full description at Econpapers || Download paper

13. Solving high-dimensional optimal stopping problems using deep learning. (2021). Welti, Timo ; Becker, Sebastian ; Cheridito, Patrick ; Jentzen, Arnulf.
    In: Papers.
    RePEc:arx:papers:1908.01602.

    Full description at Econpapers || Download paper

14. Optimistic Monte Carlo Tree Search with Sampled Information Relaxation Dual Bounds. (2020). Powell, Warren B ; Al-Kanj, Lina ; Jiang, Daniel R.
    In: Operations Research.
    RePEc:inm:oropre:v:68:y:2020:i:6:p:1678-1697.

    Full description at Econpapers || Download paper

15. Revisiting Approximate Linear Programming: Constraint-Violation Learning with Applications to Inventory Control and Energy Storage. (2020). Nadarajah, Selvaprabu ; Lin, Qihang ; Soheili, Negar.
    In: Management Science.
    RePEc:inm:ormnsc:v:66:y:2020:i:4:p:1544-1562.

    Full description at Econpapers || Download paper

16. Approximations to Stochastic Dynamic Programs via Information Relaxation Duality. (2019). Balseiro, Santiago R ; Brown, David B.
    In: Operations Research.
    RePEc:inm:oropre:v:67:y:2019:i:2:p:577-597.

    Full description at Econpapers || Download paper

17. Dual pricing of American options by Wiener chaos expansion. (2018). Lelong, Jerome.
    In: Post-Print.
    RePEc:hal:journl:hal-01299819.

    Full description at Econpapers || Download paper

18. Information Relaxation Bounds for Infinite Horizon Markov Decision Processes. (2017). Haugh, Martin B ; Brown, David B.
    In: Operations Research.
    RePEc:inm:oropre:v:65:y:2017:i:5:p:1355-1379.

    Full description at Econpapers || Download paper

19. Comparison of least squares Monte Carlo methods with applications to energy real options. (2017). Nadarajah, Selvaprabu ; Secomandi, Nicola ; Margot, Franois .
    In: European Journal of Operational Research.
    RePEc:eee:ejores:v:256:y:2017:i:1:p:196-204.

    Full description at Econpapers || Download paper

20. HIGH-DIMENSIONAL PORTFOLIO OPTIMIZATION WITH TRANSACTION COSTS. (2016). Shen, Weiwei ; Broadie, Mark.
    In: International Journal of Theoretical and Applied Finance (IJTAF).
    RePEc:wsi:ijtafx:v:19:y:2016:i:04:n:s0219024916500254.

    Full description at Econpapers || Download paper

21. Valuing American options using fast recursive projections. (2016). Scaillet, Olivier ; Cosma, Antonio ; Galluccio, Stefano ; Pederzoli, Paola.
    In: Working Papers.
    RePEc:gnv:wpgsem:unige:82087.

    Full description at Econpapers || Download paper

22. Early exercise decision in American options with dividends, stochastic volatility and jumps. (2016). Scaillet, Olivier ; Cosma, Antonio ; Galluccio, Stefano ; Pederzoli, Paola.
    In: Papers.
    RePEc:arx:papers:1612.03031.

    Full description at Econpapers || Download paper

23. Pathwise Iteration for Backward SDEs. (2016). Schweizer, Nikolaus ; Gaertner, Christian ; Bender, Christian.
    In: Papers.
    RePEc:arx:papers:1605.07500.

    Full description at Econpapers || Download paper

24. Fast estimation of true bounds on Bermudan option prices under jump-diffusion processes. (2015). Zhu, Helin ; Ye, Fan ; Zhou, Enlu.
    In: Quantitative Finance.
    RePEc:taf:quantf:v:15:y:2015:i:11:p:1885-1900.

    Full description at Econpapers || Download paper

25. Necessity of Future Information in Admission Control. (2015). Xu, Kuang.
    In: Operations Research.
    RePEc:inm:oropre:v:63:y:2015:i:5:p:1213-1226.

    Full description at Econpapers || Download paper

26. Real Options and Merchant Operations of Energy and Other Commodities. (2014). Secomandi, Nicola ; Seppi, Duane J..
    In: Foundations and Trends(R) in Technology, Information and Operations Management.
    RePEc:now:fnttom:0200000024.

    Full description at Econpapers || Download paper

27. Effective sub-simulation-free upper bounds for the Monte Carlo pricing of callable derivatives and various improvements to existing methodologies. (2014). Joshi, Mark ; Tang, Robert.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:40:y:2014:i:c:p:25-45.

    Full description at Econpapers || Download paper

28. A METHOD FOR PRICING AMERICAN OPTIONS USING SEMI-INFINITE LINEAR PROGRAMMING. (2014). Christensen, Soren.
    In: Mathematical Finance.
    RePEc:bla:mathfi:v:24:y:2014:i:1:p:156-172.

    Full description at Econpapers || Download paper

29. Fast Estimation of True Bounds on Bermudan Option Prices under Jump-diffusion Processes. (2013). Zhu, Helin ; Ye, Fan ; Zhou, Enlu.
    In: Papers.
    RePEc:arx:papers:1305.4321.

    Full description at Econpapers || Download paper

1. Andersen L, Broadie M. Primal-dual simulation algorithm for pricing multidimensional American options. Management Sci. (2004) 50(9):1222-1234

2. Belomestny D, Bender C, Schoenmakers J. True upper bounds for Bermudan products via non-nested Monte Carlo. Math. Finance (2009) 19(1):53-71

3. Bertsekas DP. Dynamic Programming and Optimal Control (2007) 23rd ed.(Athena Scientific, Belmont, MA)
   Paper not yet in RePEc: Add citation now
   
4. Borkar VS, Pinto J, Prabhu T. A new learning algorithm for optimal stopping. Discrete Event Dynamic Systems (2009) 19(1):91-113
   Paper not yet in RePEc: Add citation now
   
5. Boyd S, Vandenberghe L. Convex Optimization (2004) (Cambridge University Press, Cambridge, UK)
   Paper not yet in RePEc: Add citation now
   

6. Broadie M, Cao M. Improved lower and upper bound algorithms for pricing American options by simulation. Quant. Finance (2008) 8(8):845-861

7. Brown DB, Smith JE, Sun P. Information relaxations and duality in stochastic dynamic programs. Oper. Res. (2010) 58(4):785-801

8. Brown DB, Smith JE. Dynamic portfolio optimization with transaction costs: Heuristics and dual bounds. Management Sci. (2011) 57(10):1752-1770

9. Carriere JF. Valuation of the early-exercise price for derivative securities using simulations and splines. Insurance: Math. Econom. (1996) 19(1):19-30
   Paper not yet in RePEc: Add citation now
   

10. Chen N, Glasserman P. Additive and multiplicative duals for American option pricing. Finance Stochastics (2007) 11(2):153-179

11. Clément E, Lamberton D, Protter P. An analysis of a least squares regression method for American option pricing. Finance Stochastics (2002) 6(4):449-471

12. Davis M, Karatzas I, Kelly FP. A deterministic approach to optimal stopping. Probability, Statistics, and Optimization: A Tribute to Peter Whittle (1994) (John Wiley & Sons, New York) 455-466
    Paper not yet in RePEc: Add citation now
    

13. de Farias DP, Van Roy B. On constraint sampling in the linear programming approach to approximate dynamic programming. Math. Oper. Res. (2004) 293(3):462-478

14. de Farias DP, Van Roy B. The linear programming approach to approximate dynamic programming. Oper. Res. (2003) 51(6):850-865

15. Desai VV, Farias VF, Moallemi CC. Approximate dynamic programming via a smoothed linear program. Oper. Res. (2012) 60(3):655-674

16. Fill JA. Eigenvalue bounds on convergence to stationarity for nonreversible Markov chains, with an application to the exclusion process. Ann. Appl. Probab. (1991) 1(1):62-87
    Paper not yet in RePEc: Add citation now
    
17. Glasserman P, Yu B, Niederreiter H. Simulation for American options: Regression now or regression later? Monte Carlo and Quasi-Monte Carlo Methods (2002) (Springer-Verlag, New York) 213-226
    Paper not yet in RePEc: Add citation now
    
18. Glasserman P. Monte Carlo Methods in Financial Engineering (2004) (Springer-Verlag, New York)
    Paper not yet in RePEc: Add citation now
    

19. Haugh MB, Kogan L. Pricing American options: A duality approach. Oper. Res. (2004) 52(2):258-270

20. Jamshidian F. Minimax optimality of Bermudan and American claims and their Monte-Carlo upper bound approximation. (2003) . Technical report, NIB Capitial, The Hague, The Netherlands
    Paper not yet in RePEc: Add citation now
    

21. Lai G, Margot F, Secomandi N. An approximate dynamic programming approach to benchmark practice-based heuristics for natural gas storage valuation. Oper. Res. (2010) 58(3):564-582

22. Longstaff FA, Schwartz ES. Valuing American options by simulation: A simple least-sqaures approach. Rev. Financial Stud. (2001) 14(1):113-147

23. Manne AS. Linear programming and sequential decisions. Management Sci. (1960) 60(3):259-267

24. Montenegro R, Tetali P. Mathematical Aspects of Mixing Times in Markov Chains (2006) (NOW Publishers, Boston)
    Paper not yet in RePEc: Add citation now
    
25. Rogers LCG. Dual valuation and hedging of Bermudan options. SIAM J. Financial Math. (2010) 1(1):604-608
    Paper not yet in RePEc: Add citation now
    

26. Rogers LCG. Monte Carlo valuation of American options. Math. Finance (2002) 12(3):271-286

27. Rogers LCG. Pathwise stochastic optimal control. SIAM J. Control Optim. (2008) 46(3):1116-1132
    Paper not yet in RePEc: Add citation now
    
28. Schweitzer P, Seidmann A. Generalized polynomial approximations in Markovian decision processes. J. Math. Anal. Appl. (1985) 110(2):568-582
    Paper not yet in RePEc: Add citation now
    
29. Shapiro A, Dentcheva D, Ruszczyński A. Lectures on Stochastic Programming: Modeling and Theory (2009) (SIAM, Philadelphia)
    Paper not yet in RePEc: Add citation now
    
30. Tsitsiklis JN, Van Roy B. Optimal stopping of Markov processes: Hilbert space theory, approximation algorithms, and an application to pricing high-dimensional financial derivatives. IEEE Trans. Automatic Control (1999) 44(10):1840-1851
    Paper not yet in RePEc: Add citation now
    
31. Tsitsiklis JN, Van Roy B. Regression methods for pricing complex American-style options. IEEE Trans. Neural Networks (2001) 12(4):694-703
    Paper not yet in RePEc: Add citation now
    
32. Van Roy B. On regression-based stopping times. Discrete Event Dynamic Systems (2010) 20(3):307-324
    Paper not yet in RePEc: Add citation now
    
33. Yu H, Bertsekas DP. A least squares Q-learning algorithm for optimal stopping problems. (2007) . Technical Report 2731, Laboratory for Information and Decision Systems, Massachusetts Institute of Technology, Cambridge
    Paper not yet in RePEc: Add citation now
    

1. Options as Silver Bullets: Valuation of Term Loans, Inventory Management, Emissions Trading and Insurance Risk Mitigation using Option Theory. (2022). Kashyap, Ravi.
   In: Papers.
   RePEc:arx:papers:1609.01274.

   Full description at Econpapers || Download paper

2. Dynamic programming for optimal stopping via pseudo-regression. (2019). Redmann, Martin ; Schoenmakers, John ; Bayer, Christian.
   In: Papers.
   RePEc:arx:papers:1808.04725.

   Full description at Econpapers || Download paper

3. The option value of vacant land and the optimal timing of city extensions. (2018). Lange, Rutger-Jan ; Teulings, Coen.
   In: Tinbergen Institute Discussion Papers.
   RePEc:tin:wpaper:20180033.

   Full description at Econpapers || Download paper

4. On the methods of pricing American options: case study. (2018). Aksoy, Umit ; Uur, Omur ; Aydoan, Burcu.
   In: Annals of Operations Research.
   RePEc:spr:annopr:v:260:y:2018:i:1:d:10.1007_s10479-016-2267-4.

   Full description at Econpapers || Download paper

5. Dual pricing of American options by Wiener chaos expansion. (2018). Lelong, Jerome.
   In: Post-Print.
   RePEc:hal:journl:hal-01299819.

   Full description at Econpapers || Download paper

6. Regression-based complexity reduction of the nested Monte Carlo methods. (2018). Hafner, Stefan ; Urusov, Mikhail ; Belomestny, Denis.
   In: Papers.
   RePEc:arx:papers:1611.06344.

   Full description at Econpapers || Download paper

7. First Order BSPDEs in higher dimension for optimal control problems. (2018). Dokuchaev, Nikolai.
   In: Papers.
   RePEc:arx:papers:1603.06825.

   Full description at Econpapers || Download paper

8. Model uncertainty and the pricing of American options. (2017). Hobson, David ; Neuberger, Anthony.
   In: Finance and Stochastics.
   RePEc:spr:finsto:v:21:y:2017:i:1:d:10.1007_s00780-016-0314-2.

   Full description at Econpapers || Download paper

9. Numerical solutions to dynamic portfolio problems with upper bounds. (2017). Shen, Weiwei ; Broadie, Mark.
   In: Computational Management Science.
   RePEc:spr:comgts:v:14:y:2017:i:2:d:10.1007_s10287-016-0270-5.

   Full description at Econpapers || Download paper

10. The value of foresight. (2017). Rogers, Leonard ; Rogers, L. C. G., ; Zhou, Quan ; Ernst, Philip A.
    In: Stochastic Processes and their Applications.
    RePEc:eee:spapps:v:127:y:2017:i:12:p:3913-3927.

    Full description at Econpapers || Download paper

11. Comparison of least squares Monte Carlo methods with applications to energy real options. (2017). Nadarajah, Selvaprabu ; Secomandi, Nicola ; Margot, Franois .
    In: European Journal of Operational Research.
    RePEc:eee:ejores:v:256:y:2017:i:1:p:196-204.

    Full description at Econpapers || Download paper

12. HIGH-DIMENSIONAL PORTFOLIO OPTIMIZATION WITH TRANSACTION COSTS. (2016). Shen, Weiwei ; Broadie, Mark.
    In: International Journal of Theoretical and Applied Finance (IJTAF).
    RePEc:wsi:ijtafx:v:19:y:2016:i:04:n:s0219024916500254.

    Full description at Econpapers || Download paper

13. Dual pricing of American options by Wiener chaos expansion. (2016). Lelong, Jerome.
    In: Working Papers.
    RePEc:hal:wpaper:hal-01299819.

    Full description at Econpapers || Download paper

14. Efficient estimation of lower and upper bounds for pricing higher-dimensional American arithmetic average options by approximating their payoff functions. (2016). Jin, Xing ; Yang, Cheng-Yu.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:44:y:2016:i:c:p:65-77.

    Full description at Econpapers || Download paper

15. An Efficient Binomial Method for Pricing Asian Options. (2016). Jeong, Yunju ; Kim, Hongjoong.
    In: ECONOMIC COMPUTATION AND ECONOMIC CYBERNETICS STUDIES AND RESEARCH.
    RePEc:cys:ecocyb:v:50:y:2016:i:2:p:151-164.

    Full description at Econpapers || Download paper

16. Early exercise decision in American options with dividends, stochastic volatility and jumps. (2016). Scaillet, Olivier ; Cosma, Antonio ; Galluccio, Stefano ; Pederzoli, Paola.
    In: Papers.
    RePEc:arx:papers:1612.03031.

    Full description at Econpapers || Download paper

17. Pricing Bounds for VIX Derivatives via Least Squares Monte Carlo. (2016). Guo, Ivan ; Loeper, Gregoire.
    In: Papers.
    RePEc:arx:papers:1611.00464.

    Full description at Econpapers || Download paper

18. Pathwise Iteration for Backward SDEs. (2016). Schweizer, Nikolaus ; Gaertner, Christian ; Bender, Christian.
    In: Papers.
    RePEc:arx:papers:1605.07500.

    Full description at Econpapers || Download paper

19. Pricing American options using martingale bases. (2016). Lelong, J'Erome.
    In: Papers.
    RePEc:arx:papers:1604.03317.

    Full description at Econpapers || Download paper

20. On the value of being American. (2016). Hobson, David ; Neuberger, Anthony.
    In: Papers.
    RePEc:arx:papers:1604.02269.

    Full description at Econpapers || Download paper

21. The value of foresight. (2016). Rogers, Leonard ; Zhou, Quan ; Ernst, Philip.
    In: Papers.
    RePEc:arx:papers:1601.05872.

    Full description at Econpapers || Download paper

22. Bermudan options by simulation. (2016). Rogers, Leonard.
    In: Papers.
    RePEc:arx:papers:1508.06117.

    Full description at Econpapers || Download paper

23. The Stochastic Grid Bundling Method: Efficient pricing of Bermudan options and their Greeks. (2015). Oosterlee, Cornelis ; Jain, Shashi.
    In: Applied Mathematics and Computation.
    RePEc:eee:apmaco:v:269:y:2015:i:c:p:412-431.

    Full description at Econpapers || Download paper

24. Irreversible investments with delayed reaction: an application to generation re-dispatch in power system operation. (2014). Perninge, Magnus ; Soder, Lennart.
    In: Mathematical Methods of Operations Research.
    RePEc:spr:mathme:v:79:y:2014:i:2:p:195-224.

    Full description at Econpapers || Download paper

25. Accuracy Verification for Numerical Solutions of Equilibrium Models. (2014). Mitra, Indrajit ; Kogan, Leonid.
    In: 2014 Meeting Papers.
    RePEc:red:sed014:423.

    Full description at Econpapers || Download paper

26. Real Options and Merchant Operations of Energy and Other Commodities. (2014). Secomandi, Nicola ; Seppi, Duane J..
    In: Foundations and Trends(R) in Technology, Information and Operations Management.
    RePEc:now:fnttom:0200000024.

    Full description at Econpapers || Download paper

27. Faster Comparison of Stopping Times by Nested Conditional Monte Carlo. (2014). Schweizer, Nikolaus ; Dickmann, Fabian.
    In: Papers.
    RePEc:arx:papers:1402.0243.

    Full description at Econpapers || Download paper

28. A primal-dual algorithm for BSDEs. (2014). Schweizer, Nikolaus ; Zhuo, Jia ; Bender, Christian.
    In: Papers.
    RePEc:arx:papers:1310.3694.

    Full description at Econpapers || Download paper

29. Optimal Exercise for Derivative Securities. (2014). Detemple, Jerome.
    In: Annual Review of Financial Economics.
    RePEc:anr:refeco:v:6:y:2014:p:459-487.

    Full description at Econpapers || Download paper

30. Pricing Bermudan options using low-discrepancy mesh methods. (2013). Boyle, Phelim P. ; Tan, Ken Seng ; Kolkiewicz, Adam W..
    In: Quantitative Finance.
    RePEc:taf:quantf:v:13:y:2013:i:6:p:841-860.

    Full description at Econpapers || Download paper

31. A perturbative approach to Bermudan options pricing with applications. (2013). Baviera, Roberto ; Giada, Lorenzo.
    In: Quantitative Finance.
    RePEc:taf:quantf:v:13:y:2013:i:2:p:255-263.

    Full description at Econpapers || Download paper

32. Multilevel dual approach for pricing American style derivatives. (2013). Belomestny, Denis ; Schoenmakers, John ; Dickmann, Fabian.
    In: Finance and Stochastics.
    RePEc:spr:finsto:v:17:y:2013:i:4:p:717-742.

    Full description at Econpapers || Download paper

33. On the primal-dual algorithm for callable Bermudan options. (2013). Mair, Maximilian ; Maruhn, Jan .
    In: Review of Derivatives Research.
    RePEc:kap:revdev:v:16:y:2013:i:1:p:79-110.

    Full description at Econpapers || Download paper

34. A computationally efficient state-space partitioning approach to pricing high-dimensional American options via dimension reduction. (2013). Wu, Zhenyu ; Li, Xun ; Jin, Xing ; Tan, Hwee Huat.
    In: European Journal of Operational Research.
    RePEc:eee:ejores:v:231:y:2013:i:2:p:362-370.

    Full description at Econpapers || Download paper

35. Fast Estimation of True Bounds on Bermudan Option Prices under Jump-diffusion Processes. (2013). Zhu, Helin ; Ye, Fan ; Zhou, Enlu.
    In: Papers.
    RePEc:arx:papers:1305.4321.

    Full description at Econpapers || Download paper

36. Numerical Valuation of Derivatives in High-Dimensional Settings via PDE Expansions. (2013). Wissmann, Rasmus ; Reisinger, Christoph.
    In: Papers.
    RePEc:arx:papers:1209.1909.

    Full description at Econpapers || Download paper

37. A pure martingale dual for multiple stopping. (2012). Schoenmakers, John.
    In: Finance and Stochastics.
    RePEc:spr:finsto:v:16:y:2012:i:2:p:319-334.

    Full description at Econpapers || Download paper

38. Pathwise Optimization for Optimal Stopping Problems. (2012). Farias, Vivek F. ; Desai, Vijay V. ; Moallemi, Ciamac C..
    In: Management Science.
    RePEc:inm:ormnsc:v:58:y:2012:i:12:p:2292-2308.

    Full description at Econpapers || Download paper

39. Two-dimensional Fourier cosine series expansion method for pricing financial options. (2012). Oosterlee, Cornelis.
    In: CPB Discussion Paper.
    RePEc:cpb:discus:225.

    Full description at Econpapers || Download paper

40. Multilevel Monte Carlo methods for applications in finance. (2012). Giles, Mike ; Szpruch, Lukasz.
    In: Papers.
    RePEc:arx:papers:1212.1377.

    Full description at Econpapers || Download paper

41. Optimal dual martingales, their analysis and application to new algorithms for Bermudan products. (2012). Huang, Junbo ; Schoenmakers, John ; Zhang, Jianing.
    In: Papers.
    RePEc:arx:papers:1111.6038.

    Full description at Econpapers || Download paper

42. Monte Carlo Bounds for Game Options Including Convertible Bonds. (2011). Joshi, Mark ; Beveridge, Christopher.
    In: Management Science.
    RePEc:inm:ormnsc:v:57:y:2011:i:5:p:960-974.

    Full description at Econpapers || Download paper

43. Dynamic Portfolio Optimization with Transaction Costs: Heuristics and Dual Bounds. (2011). Smith, James E. ; BROWN, David B..
    In: Management Science.
    RePEc:inm:ormnsc:v:57:y:2011:i:10:p:1752-1770.

    Full description at Econpapers || Download paper

44. Dual representations for general multiple stopping problems. (2011). Schoenmakers, John ; Zhang, Jianing ; Bender, Christian.
    In: Papers.
    RePEc:arx:papers:1112.2638.

    Full description at Econpapers || Download paper

45. Parallel pricing algorithms for multi-dimensional Bermudan/American options using Monte Carlo methods. (2010). Doan, VietDung ; Bossy, Mireille ; Stokes-Rees, Ian ; Baude, Franoise ; Gaikwad, Abhijeet .
    In: Mathematics and Computers in Simulation (MATCOM).
    RePEc:eee:matcom:v:81:y:2010:i:3:p:568-577.

    Full description at Econpapers || Download paper

46. 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.

    Full description at Econpapers || Download paper

47. SINGULAR PERTURBATION TECHNIQUES APPLIED TO MULTIASSET OPTION PRICING. (2009). Duck, Peter W. ; Widdicks, Martin ; Newton, David P. ; Yang, Chao.
    In: Mathematical Finance.
    RePEc:bla:mathfi:v:19:y:2009:i:3:p:457-486.

    Full description at Econpapers || Download paper

48. TRUE UPPER BOUNDS FOR BERMUDAN PRODUCTS VIA NON‐NESTED MONTE CARLO. (2009). Belomestny, Denis ; Schoenmakers, John ; Bender, Christian.
    In: Mathematical Finance.
    RePEc:bla:mathfi:v:19:y:2009:i:1:p:53-71.

    Full description at Econpapers || Download paper

49. Option Pricing by Mathematical Programming. (2007). Flåm, Sjur ; F L, .
    In: Working Papers.
    RePEc:hhs:lunewp:2007_010.

    Full description at Econpapers || Download paper

50. Policy iteration for american options: overview. (2006). John, Schoenmakers ; Anastasia, Kolodko ; Christian, Bender.
    In: Monte Carlo Methods and Applications.
    RePEc:bpj:mcmeap:v:12:y:2006:i:5:p:347-362:n:5.

    Full description at Econpapers || Download paper

Report date: 2025-09-18 17:54:54 || Missing content? Let us know