Value function approximation or stopping time approximation: a comparison of two recent numerical methods for American option pricing using simulation and regression

Lars Stentoft

doi:10.21314/jcf.2014.281

Value function approximation or stopping time approximation: a comparison of two recent numerical methods for American option pricing using simulation and regression

The Journal of Computational Finance ◽

10.21314/jcf.2014.281 ◽

2014 ◽

Vol 18 (1) ◽

pp. 65-120 ◽

Cited By ~ 9

Author(s):

Lars Stentoft

Keyword(s):

Numerical Methods ◽

Option Pricing ◽

Function Approximation ◽

Value Function ◽

Stopping Time ◽

American Option ◽

American Option Pricing ◽

Value Function Approximation ◽

Time Approximation ◽

Simulation And Regression

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Value Function Approximation or Stopping Time Approximation: A Comparison of Two Recent Numerical Methods for American Option Pricing using Simulation and Regression

SSRN Electronic Journal ◽

10.2139/ssrn.1315306 ◽

2008 ◽

Cited By ~ 2

Author(s):

Lars Stentoft

Keyword(s):

Numerical Methods ◽

Option Pricing ◽

Function Approximation ◽

Value Function ◽

Stopping Time ◽

American Option ◽

American Option Pricing ◽

Value Function Approximation ◽

Time Approximation ◽

Simulation And Regression

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Numerical Methods for System Parabolic Variational Inequalities from Regime-Switching American Option Pricing

Numerical Mathematics Theory Methods and Applications ◽

10.4208/nmtma.oa-2018-0025 ◽

2019 ◽

Vol 12 (2) ◽

pp. 566-593 ◽

Cited By ~ 1

Author(s):

Jie Xing and Jingtang Ma

Keyword(s):

Numerical Methods ◽

Variational Inequalities ◽

Option Pricing ◽

Regime Switching ◽

American Option ◽

American Option Pricing

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American Option Pricing Using Simulation and Regression: Numerical Convergence Results

Topics in Numerical Methods for Finance - Springer Proceedings in Mathematics & Statistics ◽

10.1007/978-1-4614-3433-7_5 ◽

2012 ◽

pp. 57-94 ◽

Cited By ~ 2

Author(s):

Lars Stentoft

Keyword(s):

Option Pricing ◽

American Option ◽

American Option Pricing ◽

Numerical Convergence ◽

Convergence Results ◽

Simulation And Regression

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American Option Pricing Using Simulation and Regression: Numerical Convergence Results

SSRN Electronic Journal ◽

10.2139/ssrn.1963057 ◽

2011 ◽

Author(s):

Lars Stentoft

Keyword(s):

Option Pricing ◽

American Option ◽

American Option Pricing ◽

Numerical Convergence ◽

Convergence Results ◽

Simulation And Regression

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A new stochastic gradient estimator for American option pricing

2009 European Control Conference (ECC) ◽

10.23919/ecc.2009.7074567 ◽

2009 ◽

Cited By ~ 1

Author(s):

Yongqiang Wang ◽

Michael C. Fu ◽

Steven I. Marcus

Keyword(s):

Option Pricing ◽

American Option ◽

Stochastic Gradient ◽

American Option Pricing

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American Option Pricing Under GARCH With Non-Normal Innovations

SSRN Electronic Journal ◽

10.2139/ssrn.3166295 ◽

2017 ◽

Author(s):

Jean-Guy Simonato

Keyword(s):

Option Pricing ◽

American Option ◽

American Option Pricing

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A review of stochastic algorithms with continuous value function approximation and some new approximate policy iteration algorithms for multidimensional continuous applications

Journal of Control Theory and Applications ◽

10.1007/s11768-011-0313-y ◽

2011 ◽

Vol 9 (3) ◽

pp. 336-352 ◽

Cited By ~ 17

Author(s):

Warren B. Powell ◽

Jun Ma

Keyword(s):

Function Approximation ◽

Value Function ◽

Policy Iteration ◽

Stochastic Algorithms ◽

Value Function Approximation ◽

Approximate Policy Iteration

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American option pricing under two stochastic volatility processes

Applied Mathematics and Computation ◽

10.1016/j.amc.2013.08.047 ◽

2013 ◽

Vol 224 ◽

pp. 283-310 ◽

Cited By ~ 4

Author(s):

Carl Chiarella ◽

Jonathan Ziveyi

Keyword(s):

Option Pricing ◽

Stochastic Volatility ◽

American Option ◽

American Option Pricing

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Generating Artificial Neural Networks for Value Function Approximation in a Domain Requiring a Shifting Strategy

Applications of Evolutionary Computation - Lecture Notes in Computer Science ◽

10.1007/978-3-642-37192-9_30 ◽

2013 ◽

pp. 294-303 ◽

Cited By ~ 1

Author(s):

Ransom K. Winder

Keyword(s):

Neural Networks ◽

Artificial Neural Networks ◽

Function Approximation ◽

Value Function ◽

Value Function Approximation ◽

Shifting Strategy ◽

Artificial Neural

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Operator splitting methods for American option pricing

Applied Mathematics Letters ◽

10.1016/j.aml.2004.06.010 ◽

2004 ◽

Vol 17 (7) ◽

pp. 809-814 ◽

Cited By ~ 106

Author(s):

S. Ikonen ◽

J. Toivanen

Keyword(s):

Option Pricing ◽

Operator Splitting ◽

American Option ◽

Splitting Methods ◽

American Option Pricing ◽

Operator Splitting Methods

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