Pricing Bounds for VIX Derivatives via Least Squares Monte Carlo

SSRN Electronic Journal ◽

10.2139/ssrn.2862554 ◽

2016 ◽

Cited By ~ 1

Author(s):

Ivan Guo ◽

Grrgoire Loeper

Keyword(s):

Monte Carlo ◽

Least Squares ◽

Least Squares Monte Carlo ◽

Pricing Bounds ◽

Vix Derivatives

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Pricing Bounds for Volatility Derivatives via Duality and Least Squares Monte Carlo

Journal of Optimization Theory and Applications ◽

10.1007/s10957-017-1168-2 ◽

2017 ◽

Vol 179 (2) ◽

pp. 598-617 ◽

Cited By ~ 2

Author(s):

Ivan Guo ◽

Gregoire Loeper

Keyword(s):

Monte Carlo ◽

Least Squares ◽

Least Squares Monte Carlo ◽

Volatility Derivatives ◽

Pricing Bounds

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Regress-Later Least Squares Monte Carlo: Duality Perspective and Energy Real Option Application

SSRN Electronic Journal ◽

10.2139/ssrn.2666187 ◽

2015 ◽

Author(s):

Selvaprabu Nadarajah ◽

Nicola Secomandi

Keyword(s):

Monte Carlo ◽

Least Squares ◽

Real Option ◽

Least Squares Monte Carlo

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

SSRN Electronic Journal ◽

10.2139/ssrn.2696968 ◽

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

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AAD and Least Squares Monte Carlo: Fast Bermudan-Style Options and XVA Greeks

SSRN Electronic Journal ◽

10.2139/ssrn.2842631 ◽

2016 ◽

Cited By ~ 12

Author(s):

Luca Capriotti ◽

Yupeng Jiang

Keyword(s):

Monte Carlo ◽

Least Squares ◽

Least Squares Monte Carlo

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Least Squares Monte Carlo and Approximate Linear Programming: Error Bounds and Energy Real Option Application

SSRN Electronic Journal ◽

10.2139/ssrn.3232687 ◽

2018 ◽

Cited By ~ 2

Author(s):

Selvaprabu Nadarajah ◽

Nicola Secomandi

Keyword(s):

Monte Carlo ◽

Linear Programming ◽

Least Squares ◽

Error Bounds ◽

Real Option ◽

Least Squares Monte Carlo ◽

Programming Error ◽

Approximate Linear Programming

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Least-Squares Monte Carlo and Quasi Monte Carlo Method in Pricing American Put Options Using Matlab

SSRN Electronic Journal ◽

10.2139/ssrn.2735477 ◽

2015 ◽

Author(s):

Phuc T. Phan

Keyword(s):

Monte Carlo ◽

Monte Carlo Method ◽

Least Squares ◽

Put Options ◽

Least Squares Monte Carlo ◽

Quasi Monte Carlo ◽

American Put Options ◽

American Put

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Assessing Least Squares Monte Carlo for the Kulatilaka Trigeorgis General Real Options Pricing Model

SSRN Electronic Journal ◽

10.2139/ssrn.1153525 ◽

2008 ◽

Cited By ~ 3

Author(s):

Giuseppe Alesii

Keyword(s):

Monte Carlo ◽

Real Options ◽

Least Squares ◽

Options Pricing ◽

Pricing Model ◽

Least Squares Monte Carlo

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Efficient Variance Reduction with Least-Squares Monte Carlo Pricing

SSRN Electronic Journal ◽

10.2139/ssrn.3795621 ◽

2021 ◽

Author(s):

François-Michel Boire ◽

R. Mark Reesor ◽

Lars Stentoft

Keyword(s):

Monte Carlo ◽

Least Squares ◽

Variance Reduction ◽

Least Squares Monte Carlo

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A Robustness Analysis of Least-Squares Monte Carlo for R&D Real Options Valuation

Mathematical and Statistical Methods for Actuarial Sciences and Finance ◽

10.1007/978-3-319-05014-0_6 ◽

2014 ◽

pp. 27-30

Author(s):

Marta Biancardi ◽

Giovanni Villani

Keyword(s):

Monte Carlo ◽

Real Options ◽

Least Squares ◽

Robustness Analysis ◽

Least Squares Monte Carlo ◽

Real Options Valuation ◽

Options Valuation

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Valuation of R&D Investment Opportunities Using the Least-Squares Monte Carlo Method

Mathematical and Statistical Methods for Actuarial Sciences and Finance ◽

10.1007/978-3-319-02499-8_26 ◽

2014 ◽

pp. 289-301 ◽

Cited By ~ 2

Author(s):

Giovanni Villani

Keyword(s):

Monte Carlo ◽

Monte Carlo Method ◽

Least Squares ◽

Least Squares Monte Carlo ◽

Investment Opportunities ◽

D Investment

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