IDEAS home Printed from https://ideas.repec.org/r/inm/ormnsc/v41y1995i12p1882-1891.html
   My bibliography  Save this item

Numerical Valuation of High Dimensional Multivariate European Securities

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as


Cited by:

  1. Jin-Chuan Duan & Jean-Guy Simonato, 1998. "Empirical Martingale Simulation for Asset Prices," Management Science, INFORMS, vol. 44(9), pages 1218-1233, September.
  2. Sebastian Maier, 2021. "Re-evaluating natural resource investments under uncertainty: An alternative to limited traditional approaches," Annals of Operations Research, Springer, vol. 299(1), pages 907-937, April.
  3. Lukito Adi Nugroho, 2017. "Real options valuation of franchise territorial exclusivity," Cogent Business & Management, Taylor & Francis Journals, vol. 4(1), pages 1262490-126, January.
  4. Robert H. Keeley & Sanjeev Punjabi & Lassaad Turki, 1996. "Valuation of Early-Stage Ventures: Option Valuation Models vs. Traditional Approaches," Journal of Entrepreneurial Finance, Pepperdine University, Graziadio School of Business and Management, vol. 5(2), pages 115-138, Summer.
  5. O. Samimi & Z. Mardani & S. Sharafpour & F. Mehrdoust, 2017. "LSM Algorithm for Pricing American Option Under Heston–Hull–White’s Stochastic Volatility Model," Computational Economics, Springer;Society for Computational Economics, vol. 50(2), pages 173-187, August.
  6. Axel Kind, 2005. "Pricing American-Style Options By Simulation," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 19(1), pages 109-116, June.
  7. Barty Kengy & Girardeau Pierre & Strugarek Cyrille & Roy Jean-Sébastien, 2008. "Application of kernel-based stochastic gradient algorithms to option pricing," Monte Carlo Methods and Applications, De Gruyter, vol. 14(2), pages 99-127, January.
  8. R. Mark Reesor & T. James Marshall, 2020. "Forest of Stochastic Trees: A Method for Valuing Multiple Exercise Options," JRFM, MDPI, vol. 13(5), pages 1-31, May.
  9. Chen Liu & Henry Schellhorn & Qidi Peng, 2019. "American Option Pricing With Regression: Convergence Analysis," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 22(08), pages 1-31, December.
  10. Rombouts, Jeroen V.K. & Stentoft, Lars, 2011. "Multivariate option pricing with time varying volatility and correlations," Journal of Banking & Finance, Elsevier, vol. 35(9), pages 2267-2281, September.
  11. Ernst, Philip A. & Rogers, L.C.G. & Zhou, Quan, 2017. "The value of foresight," Stochastic Processes and their Applications, Elsevier, vol. 127(12), pages 3913-3927.
  12. Georges Dionne & Genevieve Gauthier & Nadia Ouertani & Nabil Tahani, 2011. "Heterogeneous Basket Options Pricing Using Analytical Approximations," Multinational Finance Journal, Multinational Finance Journal, vol. 15(1-2), pages 47-85, March - J.
  13. Zbigniew Palmowski & Tomasz Serafin, 2020. "A Note on Simulation Pricing of π -Options," Risks, MDPI, vol. 8(3), pages 1-19, August.
  14. Berridge, S.J. & Schumacher, J.M., 2002. "An Irregular Grid Approach for Pricing High Dimensional American Options," Other publications TiSEM 416a6d43-3466-47e0-b656-d, Tilburg University, School of Economics and Management.
  15. Calypso Herrera & Florian Krach & Pierre Ruyssen & Josef Teichmann, 2021. "Optimal Stopping via Randomized Neural Networks," Papers 2104.13669, arXiv.org, revised Dec 2023.
  16. Anne Laure Bronstein & Gilles Pagès & Jacques Portès, 2013. "Multi-asset American Options and Parallel Quantization," Methodology and Computing in Applied Probability, Springer, vol. 15(3), pages 547-561, September.
  17. Huicong Zhong & Xiaobing Feng, 2023. "An Efficient and Fast Sparse Grid Algorithm for High-Dimensional Numerical Integration," Mathematics, MDPI, vol. 11(19), pages 1-26, October.
  18. Chung-Gee Lin & Yu-Shan Wang, 2012. "Evaluating natural resource projects with embedded options and limited reserves," Applied Economics, Taylor & Francis Journals, vol. 44(12), pages 1471-1482, April.
  19. Wei, Wei & Zhu, Dan, 2022. "Generic improvements to least squares monte carlo methods with applications to optimal stopping problems," European Journal of Operational Research, Elsevier, vol. 298(3), pages 1132-1144.
  20. Peter W. Duck & Chao Yang & David P. Newton & Martin Widdicks, 2009. "Singular Perturbation Techniques Applied To Multiasset Option Pricing," Mathematical Finance, Wiley Blackwell, vol. 19(3), pages 457-486, July.
  21. Hazra, Tanmoy & Samanta, Biswajit & Dey, Kaushik, 2019. "Real option valuation of an Indian iron ore deposit through system dynamics model," Resources Policy, Elsevier, vol. 60(C), pages 288-299.
  22. Jin-Chuan Duan & Geneviève Gauthier & Jean-Guy Simonato, 2001. "Asymptotic Distribution of the EMS Option Price Estimator," Management Science, INFORMS, vol. 47(8), pages 1122-1132, August.
  23. Zhu, Lei & Zhang, ZhongXiang & Fan, Ying, 2015. "Overseas oil investment projects under uncertainty: How to make informed decisions?," Journal of Policy Modeling, Elsevier, vol. 37(5), pages 742-762.
  24. Ivan Guo & Nicolas Langren'e & Jiahao Wu, 2023. "Simultaneous upper and lower bounds of American-style option prices with hedging via neural networks," Papers 2302.12439, arXiv.org, revised Nov 2024.
  25. Jain, Shashi & Oosterlee, Cornelis W., 2015. "The Stochastic Grid Bundling Method: Efficient pricing of Bermudan options and their Greeks," Applied Mathematics and Computation, Elsevier, vol. 269(C), pages 412-431.
  26. Boyle, Phelim & Broadie, Mark & Glasserman, Paul, 1997. "Monte Carlo methods for security pricing," Journal of Economic Dynamics and Control, Elsevier, vol. 21(8-9), pages 1267-1321, June.
  27. Andr�s Garc�a Mirantes & Javier Población & Gregorio Serna, 2012. "Analyzing the dynamics of the refining margin: implications for valuation and hedging," Quantitative Finance, Taylor & Francis Journals, vol. 12(12), pages 1839-1855, December.
  28. Ingo Beyna, 2013. "Interest Rate Derivatives," Lecture Notes in Economics and Mathematical Systems, Springer, edition 127, number 978-3-642-34925-6, October.
  29. Jian Liang & Zhe Xu & Peter Li, 2019. "Deep Learning-Based Least Square Forward-Backward Stochastic Differential Equation Solver for High-Dimensional Derivative Pricing," Papers 1907.10578, arXiv.org, revised Oct 2020.
  30. Mark Broadie & Jerome B. Detemple, 2004. "ANNIVERSARY ARTICLE: Option Pricing: Valuation Models and Applications," Management Science, INFORMS, vol. 50(9), pages 1145-1177, September.
  31. Pringles, Rolando & Olsina, Fernando & Garcés, Francisco, 2015. "Real option valuation of power transmission investments by stochastic simulation," Energy Economics, Elsevier, vol. 47(C), pages 215-226.
  32. Yijuan Liang & Xiuchuan Xu, 2019. "Variance and Dimension Reduction Monte Carlo Method for Pricing European Multi-Asset Options with Stochastic Volatilities," Sustainability, MDPI, vol. 11(3), pages 1-21, February.
  33. Sebastian Becker & Patrick Cheridito & Arnulf Jentzen & Timo Welti, 2019. "Solving high-dimensional optimal stopping problems using deep learning," Papers 1908.01602, arXiv.org, revised Aug 2021.
  34. Dionne, Georges & Gauthier, Geneviève & Ouertani, Nadia, 2009. "Basket options on heterogeneous underlying assets," Working Papers 09-3, HEC Montreal, Canada Research Chair in Risk Management.
  35. L. C. G. Rogers, 2015. "Bermudan options by simulation," Papers 1508.06117, arXiv.org, revised Jan 2016.
  36. Jiawei Huo, 2023. "Finite Difference Solution Ansatz approach in Least-Squares Monte Carlo," Papers 2305.09166, arXiv.org, revised Aug 2024.
  37. JC Ndogmo, 2008. "Some Control Variates for exotic options," Papers 0806.4675, arXiv.org.
  38. Tommaso Paletta & Arturo Leccadito & Radu Tunaru, 2013. "Pricing and Hedging Basket Options with Exact Moment Matching," Papers 1312.4443, arXiv.org.
  39. Tomáš Tichý, 2008. "Posouzení vybraných možností zefektivnění simulace Monte Carlo při opčním oceňování [Examination of selected improvement approaches to Monte Carlo simulation in option pricing]," Politická ekonomie, Prague University of Economics and Business, vol. 2008(6), pages 772-794.
  40. Giacomo Bormetti & Giorgia Callegaro & Giulia Livieri & Andrea Pallavicini, 2015. "A backward Monte Carlo approach to exotic option pricing," Papers 1511.00848, arXiv.org.
  41. Ng, Andrew C.Y. & Li, Johnny Siu-Hang & Chan, Wai-Sum, 2013. "Pricing options on stocks denominated in different currencies: Theory and illustrations," The North American Journal of Economics and Finance, Elsevier, vol. 26(C), pages 339-354.
  42. Ehsan Hajizadeh & Masoud Mahootchi, 2019. "Developing a Risk-Based Approach for American Basket Option Pricing," Computational Economics, Springer;Society for Computational Economics, vol. 53(4), pages 1593-1612, April.
  43. Jérôme Detemple, 2014. "Optimal Exercise for Derivative Securities," Annual Review of Financial Economics, Annual Reviews, vol. 6(1), pages 459-487, December.
  44. Martzoukos, Spiros H., 2001. "The option on n assets with exchange rate and exercise price risk," Journal of Multinational Financial Management, Elsevier, vol. 11(1), pages 1-15, February.
  45. E Saliby & R J Paul, 2009. "A farewell to the use of antithetic variates in Monte Carlo simulation," Journal of the Operational Research Society, Palgrave Macmillan;The OR Society, vol. 60(7), pages 1026-1035, July.
  46. Ravi Kashyap, 2022. "Options as Silver Bullets: Valuation of Term Loans, Inventory Management, Emissions Trading and Insurance Risk Mitigation using Option Theory," Annals of Operations Research, Springer, vol. 315(2), pages 1175-1215, August.
  47. Berridge, S.J. & Schumacher, J.M., 2004. "Pricing High-Dimensional American Options Using Local Consistency Conditions," Other publications TiSEM 8c8de631-5039-4eec-a965-3, Tilburg University, School of Economics and Management.
  48. Lars Stentoft, 2004. "Convergence of the Least Squares Monte Carlo Approach to American Option Valuation," Management Science, INFORMS, vol. 50(9), pages 1193-1203, September.
  49. Burcu Aydoğan & Ümit Aksoy & Ömür Uğur, 2018. "On the methods of pricing American options: case study," Annals of Operations Research, Springer, vol. 260(1), pages 79-94, January.
  50. Chuang-Chang Chang & Chueh-Yung Tsao, 2011. "Efficient and accurate quadratic approximation methods for pricing Asian strike options," Quantitative Finance, Taylor & Francis Journals, vol. 11(5), pages 729-748.
  51. Phelim P. Boyle & Adam W. Kolkiewicz & Ken Seng Tan, 2013. "Pricing Bermudan options using low-discrepancy mesh methods," Quantitative Finance, Taylor & Francis Journals, vol. 13(6), pages 841-860, May.
  52. Leif Andersen & Mark Broadie, 2004. "Primal-Dual Simulation Algorithm for Pricing Multidimensional American Options," Management Science, INFORMS, vol. 50(9), pages 1222-1234, September.
  53. Dimitrakopoulos, Roussos G. & Abdel Sabour, Sabry A., 2007. "Evaluating mine plans under uncertainty: Can the real options make a difference?," Resources Policy, Elsevier, vol. 32(3), pages 116-125, September.
  54. Mohammad Rahman Ardhiansyah & Tsuyoshi Adachi & Junichiro Oda, 2023. "Stratified state aggregation (SSA) approach in real option valuation: combining price and grade uncertainties in tin mining projects," Mineral Economics, Springer;Raw Materials Group (RMG);Luleå University of Technology, vol. 36(3), pages 371-381, September.
  55. Ravi Kashyap, 2016. "Options as Silver Bullets: Valuation of Term Loans, Inventory Management, Emissions Trading and Insurance Risk Mitigation using Option Theory," Papers 1609.01274, arXiv.org, revised Mar 2022.
  56. Jin, Xing & Yang, Cheng-Yu, 2016. "Efficient estimation of lower and upper bounds for pricing higher-dimensional American arithmetic average options by approximating their payoff functions," International Review of Financial Analysis, Elsevier, vol. 44(C), pages 65-77.
  57. Bally Vlad & Caramellino Lucia & Zanette Antonino, 2005. "Pricing and hedging American options by Monte Carlo methods using a Malliavin calculus approach," Monte Carlo Methods and Applications, De Gruyter, vol. 11(2), pages 97-133, June.
  58. Zbigniew Palmowski & Tomasz Serafin, 2020. "Note on simulation pricing of $\pi$-options," Papers 2007.02076, arXiv.org, revised Aug 2020.
  59. Lars Stentoft, 2013. "American option pricing using simulation with an application to the GARCH model," Chapters, in: Adrian R. Bell & Chris Brooks & Marcel Prokopczuk (ed.), Handbook of Research Methods and Applications in Empirical Finance, chapter 5, pages 114-147, Edward Elgar Publishing.
  60. Almeida, Caio & Pereira, Leonardo Tavares, 2016. "Pricing Options Embedded in Debentures with Credit Risk," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 36(1), March.
IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.