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

Download Full-text

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

Download Full-text

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

Download Full-text

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

Download Full-text

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

Download Full-text

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

Download Full-text

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

Download Full-text

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

Download Full-text

American option pricing using Bayesian multi-layer perceptrons and Bayesian support vector machines

IEEE 3rd International Conference on Computational Cybernetics, 2005. ICCC 2005. ◽

10.1109/icccyb.2005.1511576 ◽

2006 ◽

Cited By ~ 3

Author(s):

M.M. Pires ◽

T. Marwala

Keyword(s):

Support Vector Machines ◽

Option Pricing ◽

American Option ◽

Support Vector ◽

American Option Pricing ◽

Vector Machines ◽

Bayesian Support

Download Full-text

Tests of an American Option Pricing Model on the Foreign Currency Options Market

Journal of Financial and Quantitative Analysis ◽

10.2307/2330710 ◽

1987 ◽

Vol 22 (2) ◽

pp. 153 ◽

Cited By ~ 87

Author(s):

James N. Bodurtha ◽

Georges R. Courtadon

Keyword(s):

Option Pricing ◽

Foreign Currency ◽

American Option ◽

Options Market ◽

Pricing Model ◽

American Option Pricing ◽

Currency Options ◽

Option Pricing Model

Download Full-text

American option pricing by a method of error correction

The Engineering Economist ◽

10.1080/0013791x.2015.1136014 ◽

2016 ◽

Vol 61 (2) ◽

pp. 95-111

Author(s):

Óscar Gutiérrez

Keyword(s):

Option Pricing ◽

Error Correction ◽

American Option ◽

American Option Pricing

Download Full-text