Dynamic Portfolio Optimisation with Intermediate Costs: A Least-Squares Monte Carlo Simulation Approach

2016 ◽  
Author(s):  
Rongju Zhang ◽  
Nicolas Langrenn ◽  
Yu Tian ◽  
Zili Zhu ◽  
Fima Klebaner ◽  
...  
Keyword(s):  
Monte Carlo Simulation ◽  
Monte Carlo ◽  
Least Squares ◽  
Portfolio Optimisation ◽  
Simulation Approach ◽  
Least Squares Monte Carlo ◽  
Dynamic Portfolio

Valuation of Swing Contracts by Least-Squares Monte Carlo Simulation

2011 ◽  
Vol 3 (04) ◽  
pp. 215-225 ◽  
Author(s):  
Bart J.A. Willigers ◽  
Steve Begg ◽  
Reidar Bratvold
Keyword(s):  
Monte Carlo Simulation ◽  
Monte Carlo ◽  
Least Squares ◽  
Least Squares Monte Carlo
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