IDEAS home Printed from https://ideas.repec.org/r/oup/rfinst/v14y2001i1p113-47.html
   My bibliography  Save this item

Valuing American Options by Simulation: A Simple Least-Squares Approach

Citations

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


Cited by:

  1. Beliaeva, Natalia & Nawalkha, Sanjay, 2012. "Pricing American interest rate options under the jump-extended constant-elasticity-of-variance short rate models," Journal of Banking & Finance, Elsevier, vol. 36(1), pages 151-163.
  2. Weihan Li & Jin E. Zhang & Xinfeng Ruan & Pakorn Aschakulporn, 2024. "An empirical study on the early exercise premium of American options: Evidence from OEX and XEO options," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 44(7), pages 1117-1153, July.
  3. Seyed Amir Hejazi & Kenneth R. Jackson, 2016. "A Neural Network Approach to Efficient Valuation of Large Portfolios of Variable Annuities," Papers 1606.07831, arXiv.org.
  4. Zeng, Yaxiong & Klabjan, Diego & Arinez, Jorge, 2015. "Distributed solar renewable generation: Option contracts with renewable energy credit uncertainty," Energy Economics, Elsevier, vol. 48(C), pages 295-305.
  5. Lorenzo Garlappi & Georgios Skoulakis, 2009. "Numerical Solutions to Dynamic Portfolio Problems: The Case for Value Function Iteration using Taylor Approximation," Computational Economics, Springer;Society for Computational Economics, vol. 33(2), pages 193-207, March.
  6. Aleksandar Arandjelovi'c & Pavel V. Shevchenko & Tomoko Matsui & Daisuke Murakami & Tor A. Myrvoll, 2024. "Solving stochastic climate-economy models: A deep least-squares Monte Carlo approach," Papers 2408.09642, arXiv.org.
  7. Fabian Dickmann & Nikolaus Schweizer, 2014. "Faster Comparison of Stopping Times by Nested Conditional Monte Carlo," Papers 1402.0243, arXiv.org.
  8. Pietersz, R. & Pelsser, A.A.J., 2003. "Risk managing bermudan swaptions in the libor BGM model," Econometric Institute Research Papers EI 2003-33, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  9. Work, James & Hauer, Grant & Luckert, M.K. (Marty), 2018. "What ethanol prices would induce growers to switch from agriculture to poplar in Alberta? A multiple options approach," Journal of Forest Economics, Elsevier, vol. 33(C), pages 51-62.
  10. Adam W. Kolkiewicz & Fangyuan Sally Lin, 2017. "Pricing Surrender Risk in Ratchet Equity-Index Annuities under Regime-Switching Lévy Processes," North American Actuarial Journal, Taylor & Francis Journals, vol. 21(3), pages 433-457, July.
  11. Mo, Jianlei & Schleich, Joachim & Fan, Ying, 2018. "Getting ready for future carbon abatement under uncertainty – Key factors driving investment with policy implications," Energy Economics, Elsevier, vol. 70(C), pages 453-464.
  12. Zhu, Yichen & Escobar-Anel, Marcos, 2022. "Polynomial affine approach to HARA utility maximization with applications to OrnsteinUhlenbeck 4/2 models," Applied Mathematics and Computation, Elsevier, vol. 418(C).
  13. Kathrin Glau & Ricardo Pachon & Christian Potz, 2019. "Speed-up credit exposure calculations for pricing and risk management," Papers 1912.01280, arXiv.org.
  14. Tianyang Wang & James S. Dyer, 2010. "Valuing Multifactor Real Options Using an Implied Binomial Tree," Decision Analysis, INFORMS, vol. 7(2), pages 185-195, June.
  15. Zhengqing Zhou & Guanyang Wang & Jose Blanchet & Peter W. Glynn, 2021. "Unbiased Optimal Stopping via the MUSE," Papers 2106.02263, arXiv.org, revised Dec 2022.
  16. Peter Christoffersen & Kris Jacobs & Chayawat Ornthanalai, 2012. "GARCH Option Valuation: Theory and Evidence," CREATES Research Papers 2012-50, Department of Economics and Business Economics, Aarhus University.
  17. Godin, Frédéric & Trottier, Denis-Alexandre, 2021. "Option pricing in regime-switching frameworks with the Extended Girsanov Principle," Insurance: Mathematics and Economics, Elsevier, vol. 99(C), pages 116-129.
  18. Dong, Wenfeng & Kang, Boda, 2019. "Analysis of a multiple year gas sales agreement with make-up, carry-forward and indexation," Energy Economics, Elsevier, vol. 79(C), pages 76-96.
  19. Célérier, Claire & Vallée, Boris, 2016. "Catering to investors through product complexity," ESRB Working Paper Series 14, European Systemic Risk Board.
  20. Xiao, Tim, 2013. "An Accurate Solution for Credit Value Adjustment (CVA) and Wrong Way Risk," MPRA Paper 47104, University Library of Munich, Germany.
  21. Pringles, Rolando & Olsina, Fernando & Penizzotto, Franco, 2020. "Valuation of defer and relocation options in photovoltaic generation investments by a stochastic simulation-based method," Renewable Energy, Elsevier, vol. 151(C), pages 846-864.
  22. Pascal Létourneau & Lars Stentoft, 2019. "Bootstrapping the Early Exercise Boundary in the Least-Squares Monte Carlo Method," JRFM, MDPI, vol. 12(4), pages 1-21, December.
  23. Powell, Warren B., 2019. "A unified framework for stochastic optimization," European Journal of Operational Research, Elsevier, vol. 275(3), pages 795-821.
  24. Marta Biancardi & Giovanni Villani, 2017. "Robust Monte Carlo Method for R&D Real Options Valuation," Computational Economics, Springer;Society for Computational Economics, vol. 49(3), pages 481-498, March.
  25. Massimo Costabile & Fabio Viviano, 2020. "Testing the Least-Squares Monte Carlo Method for the Evaluation of Capital Requirements in Life Insurance," Risks, MDPI, vol. 8(2), pages 1-13, May.
  26. Francois-Michel Boire & R. Mark Reesor & Lars Stentoft, 2021. "American Option Pricing with Importance Sampling and Shifted Regressions," JRFM, MDPI, vol. 14(8), pages 1-21, July.
  27. Zhang, Hanyu & Assereto, Martina & Byrne, Julie, 2023. "Deferring real options with solar renewable energy certificates," Global Finance Journal, Elsevier, vol. 55(C).
  28. Kun Zhang & Ben Mingbin Feng & Guangwu Liu & Shiyu Wang, 2022. "Sample Recycling for Nested Simulation with Application in Portfolio Risk Measurement," Papers 2203.15929, arXiv.org.
  29. Gabriel J Power & Charli D. Tandja M. & Josée Bastien & Philippe Grégoire, 2015. "Measuring infrastructure investment option value," Journal of Risk Finance, Emerald Group Publishing, vol. 16(1), pages 49-72, January.
  30. Stentoft, Lars, 2005. "Pricing American options when the underlying asset follows GARCH processes," Journal of Empirical Finance, Elsevier, vol. 12(4), pages 576-611, September.
  31. Arasteh, Abdollah, 2017. "Considering the investment decisions with real options games approach," Renewable and Sustainable Energy Reviews, Elsevier, vol. 72(C), pages 1282-1294.
  32. Joshi, Mark & Yang, Chao, 2011. "Fast delta computations in the swap-rate market model," Journal of Economic Dynamics and Control, Elsevier, vol. 35(5), pages 764-775, May.
  33. Rombouts, Jeroen & Stentoft, Lars & Violante, Franceso, 2014. "The value of multivariate model sophistication: An application to pricing Dow Jones Industrial Average options," International Journal of Forecasting, Elsevier, vol. 30(1), pages 78-98.
  34. Boonstra, Boris C. & Oosterlee, Cornelis W., 2021. "Valuation of electricity storage contracts using the COS method," Applied Mathematics and Computation, Elsevier, vol. 410(C).
  35. Kailin Ding & Zhenyu Cui & Xiaoguang Yang, 2023. "Pricing arithmetic Asian and Amerasian options: A diffusion operator integral expansion approach," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(2), pages 217-241, February.
  36. Vladislav Kargin, 2005. "Lattice Option Pricing By Multidimensional Interpolation," Mathematical Finance, Wiley Blackwell, vol. 15(4), pages 635-647, October.
  37. Nordahl, Helge A., 2008. "Valuation of life insurance surrender and exchange options," Insurance: Mathematics and Economics, Elsevier, vol. 42(3), pages 909-919, June.
  38. 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.
  39. Jarrow, Robert & Li, Haitao & Liu, Sheen & Wu, Chunchi, 2010. "Reduced-form valuation of callable corporate bonds: Theory and evidence," Journal of Financial Economics, Elsevier, vol. 95(2), pages 227-248, February.
  40. Gilles Pag`es & Olivier Pironneau & Guillaume Sall, 2016. "Vibrato and automatic differentiation for high order derivatives and sensitivities of financial options," Papers 1606.06143, arXiv.org.
  41. Atul Chandra & Peter R. Hartley & Gopalan Nair, 2022. "Multiple Volatility Real Options Approach to Investment Decisions Under Uncertainty," Decision Analysis, INFORMS, vol. 19(2), pages 79-98, June.
  42. 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.
  43. Michèle Breton & Javier de Frutos, 2010. "Option Pricing Under GARCH Processes Using PDE Methods," Operations Research, INFORMS, vol. 58(4-part-2), pages 1148-1157, August.
  44. Antonella Basso & Martina Nardon & Paolo Pianca, 2004. "A two-step simulation procedure to analyze the exercise features of American options," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 27(1), pages 35-56, August.
  45. Xiao, Tim, 2013. "The Impact of Default Dependency and Collateralization on Asset Pricing and Credit Risk Modeling," MPRA Paper 47136, University Library of Munich, Germany.
  46. Eickholt, Mathias, 2014. "Behavioral financial engineering in the fixed-income market: The influence of the coupon structure," Passauer Diskussionspapiere, Betriebswirtschaftliche Reihe 16, University of Passau, Faculty of Business and Economics.
  47. Mo, Jian-Lei & Schleich, Joachim & Zhu, Lei & Fan, Ying, 2015. "Delaying the introduction of emissions trading systems—Implications for power plant investment and operation from a multi-stage decision model," Energy Economics, Elsevier, vol. 52(PB), pages 255-264.
  48. Patrick Cheridito & John Ery & Mario V. Wüthrich, 2020. "Assessing Asset-Liability Risk with Neural Networks," Risks, MDPI, vol. 8(1), pages 1-17, February.
  49. 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.
  50. Or, Bartu & Bilgin, Gozde & Akcay, Emre Caner & Dikmen, Irem & Birgonul, M. Talat, 2024. "Real options valuation of photovoltaic investments: A case from Turkey," Renewable and Sustainable Energy Reviews, Elsevier, vol. 192(C).
  51. Guglielmo Maria Caporale & Mario Cerrato, 2008. "Chebyshev polynomial approximation to approximate partial differential equations," Working Papers 2008_16, Business School - Economics, University of Glasgow.
  52. Song-Ping Zhu & Xin-Jiang He, 2018. "A hybrid computational approach for option pricing," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 5(03), pages 1-16, September.
  53. Chen, D.H.J. & Beetsma, R.M.W.J. & van Wijnbergen, S.J.G., 2020. "Unhedgeable inflation risk within pension schemes," Insurance: Mathematics and Economics, Elsevier, vol. 90(C), pages 7-24.
  54. Larsson, Karl & Nossman, Marcus, 2011. "Jumps and stochastic volatility in oil prices: Time series evidence," Energy Economics, Elsevier, vol. 33(3), pages 504-514, May.
  55. Hári, Norbert & De Waegenaere, Anja & Melenberg, Bertrand & Nijman, Theo E., 2008. "Longevity risk in portfolios of pension annuities," Insurance: Mathematics and Economics, Elsevier, vol. 42(2), pages 505-519, April.
  56. Hatem Ben-Ameur & Michèle Breton & Pierre L'Ecuyer, 2002. "A Dynamic Programming Procedure for Pricing American-Style Asian Options," Management Science, INFORMS, vol. 48(5), pages 625-643, May.
  57. Arvesen, Ø. & Medbø, V. & Fleten, S.-E. & Tomasgard, A. & Westgaard, S., 2013. "Linepack storage valuation under price uncertainty," Energy, Elsevier, vol. 52(C), pages 155-164.
  58. Kashyap, Ravi, 2020. "David vs Goliath (You against the Markets), A dynamic programming approach to separate the impact and timing of trading costs," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 545(C).
  59. Florian Steiger, 2010. "The Impact of Credit Risk and Implied Volatility on Stock Returns," Papers 1005.5538, arXiv.org.
  60. Henrique Guerreiro & João Guerra, 2021. "Least squares Monte Carlo methods in stochastic Volterra rough volatility models," Working Papers REM 2021/0176, ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa.
  61. Raoul Pietersz & Antoon Pelsser, 2010. "A comparison of single factor Markov-functional and multi factor market models," Review of Derivatives Research, Springer, vol. 13(3), pages 245-272, October.
  62. Roger J. A. Laeven & John G. M. Schoenmakers & Nikolaus F. F. Schweizer & Mitja Stadje, 2020. "Robust Multiple Stopping -- A Pathwise Duality Approach," Papers 2006.01802, arXiv.org, revised Sep 2021.
  63. Gilles Pages & Olivier Pironneau & Guillaume Sall, 2015. "Vibrato and Automatic Differentiation for High Order Derivatives and Sensitivities of Financial Options," Working Papers hal-01234637, HAL.
  64. Rongju Zhang & Nicolas Langren'e & Yu Tian & Zili Zhu & Fima Klebaner & Kais Hamza, 2017. "Skewed target range strategy for multiperiod portfolio optimization using a two-stage least squares Monte Carlo method," Papers 1704.00416, arXiv.org, revised Jun 2019.
  65. Dmitry Lesnik, 2015. "Intrinsic Storage Valuation by Variational Analysis," Papers 1506.06979, arXiv.org.
  66. Maier, Sebastian & Pflug, Georg C. & Polak, John W., 2020. "Valuing portfolios of interdependent real options under exogenous and endogenous uncertainties," European Journal of Operational Research, Elsevier, vol. 285(1), pages 133-147.
  67. Brauneis, Alexander & Mestel, Roland & Palan, Stefan, 2013. "Inducing low-carbon investment in the electric power industry through a price floor for emissions trading," Energy Policy, Elsevier, vol. 53(C), pages 190-204.
  68. Cerrato, Mario & Abbasyan, Abdollah, 2008. "Optimal Martingales and American Option Pricing," SIRE Discussion Papers 2008-36, Scottish Institute for Research in Economics (SIRE).
  69. Xuemei Gao & Dongya Deng & Yue Shan, 2014. "Lattice Methods for Pricing American Strangles with Two-Dimensional Stochastic Volatility Models," Discrete Dynamics in Nature and Society, Hindawi, vol. 2014, pages 1-6, April.
  70. Giorgia Callegaro & Alessandro Gnoatto & Martino Grasselli, 2021. "A Fully Quantization-based Scheme for FBSDEs," Working Papers 07/2021, University of Verona, Department of Economics.
  71. Pedro Godinho, 2015. "Estimating State-Dependent Volatility of Investment Projects: A Simulation Approach," GEMF Working Papers 2015-02, GEMF, Faculty of Economics, University of Coimbra.
  72. Marcelo G. Figueroa, 2006. "Pricing Multiple Interruptible-Swing Contracts," Birkbeck Working Papers in Economics and Finance 0606, Birkbeck, Department of Economics, Mathematics & Statistics.
  73. Power, Gabriel J. & Burris, Mark & Vadali, Sharada & Vedenov, Dmitry, 2016. "Valuation of strategic options in public–private partnerships," Transportation Research Part A: Policy and Practice, Elsevier, vol. 90(C), pages 50-68.
  74. Daniel Zanger, 2009. "Convergence of a Least-Squares Monte Carlo Algorithm for Bounded Approximating Sets," Applied Mathematical Finance, Taylor & Francis Journals, vol. 16(2), pages 123-150.
  75. Andersson, Kristoffer & Oosterlee, Cornelis W., 2021. "A deep learning approach for computations of exposure profiles for high-dimensional Bermudan options," Applied Mathematics and Computation, Elsevier, vol. 408(C).
  76. Hainaut, Donatien & Akbaraly, Adnane, 2023. "Risk management with Local Least Squares Monte-Carlo," LIDAM Discussion Papers ISBA 2023003, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
  77. Ingber, Lester, 2000. "High-resolution path-integral development of financial options," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 283(3), pages 529-558.
  78. Barone-Adesi, Giovanni, 2005. "The saga of the American put," Journal of Banking & Finance, Elsevier, vol. 29(11), pages 2909-2918, November.
  79. Anna Kamille Nyegaard & Johan Raunkjær Ott & Mogens Steffensen, 2021. "An Intrinsic Value Approach to Valuation with Forward–Backward Loops in Dividend Paying Stocks," Mathematics, MDPI, vol. 9(13), pages 1-23, June.
  80. Idris Kharroubi & Nicolas Langren'e & Huy^en Pham, 2013. "A numerical algorithm for fully nonlinear HJB equations: an approach by control randomization," Papers 1311.4503, arXiv.org.
  81. Thomas Deschatre & Xavier Warin, 2023. "A Common Shock Model for multidimensional electricity intraday price modelling with application to battery valuation," Papers 2307.16619, arXiv.org.
  82. Somayeh Moazeni & Thomas F. Coleman & Yuying Li, 2016. "Smoothing and parametric rules for stochastic mean-CVaR optimal execution strategy," Annals of Operations Research, Springer, vol. 237(1), pages 99-120, February.
  83. Andersson, Kristoffer & Oosterlee, Cornelis W., 2021. "Deep learning for CVA computations of large portfolios of financial derivatives," Applied Mathematics and Computation, Elsevier, vol. 409(C).
  84. 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.
  85. Abdullah Almansour & Margaret Insley, 2016. "The Impact of Stochastic Extraction Cost on the Value of an Exhaustible Resource: An Application to the Alberta Oil Sands," The Energy Journal, , vol. 37(2), pages 61-88, April.
  86. Lars Stentoft, 2008. "American Option Pricing Using GARCH Models and the Normal Inverse Gaussian Distribution," Journal of Financial Econometrics, Oxford University Press, vol. 6(4), pages 540-582, Fall.
  87. Jungmin An & Dong-Kwan Kim & Jinyeong Lee & Sung-Kwan Joo, 2021. "Least Squares Monte Carlo Simulation-Based Decision-Making Method for Photovoltaic Investment in Korea," Sustainability, MDPI, vol. 13(19), pages 1-14, September.
  88. Muthuraman, Kumar, 2008. "A moving boundary approach to American option pricing," Journal of Economic Dynamics and Control, Elsevier, vol. 32(11), pages 3520-3537, November.
  89. Chi H. Truong, 2014. "A Two Factor Model for Water Prices and Its Implications for Evaluating Real Options and Other Water Price Derivatives," Canadian Journal of Agricultural Economics/Revue canadienne d'agroeconomie, Canadian Agricultural Economics Society/Societe canadienne d'agroeconomie, vol. 62(1), pages 23-45, March.
  90. Peter W. Duck & Geoffrey W. Evatt & Paul V. Johnson, 2014. "Perpetual Options on Multiple Underlyings," Applied Mathematical Finance, Taylor & Francis Journals, vol. 21(2), pages 174-200, April.
  91. Iwai, Nobuyuki & Emerson, Robert D. & Walters, Lurleen M., 2008. "Labor Cost and Technology Adoption: Least Squares Monte Carlo Method for the Case of Sugarcane Mechanization in Florida," 2008 Annual Meeting, July 27-29, 2008, Orlando, Florida 6479, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
  92. Cassimon, D. & De Backer, M. & Engelen, P.J. & Van Wouwe, M. & Yordanov, V., 2011. "Incorporating technical risk in compound real option models to value a pharmaceutical R&D licensing opportunity," Research Policy, Elsevier, vol. 40(9), pages 1200-1216.
  93. Piotr Komański & Oskar Sokoliński, 2015. "Least-Squares Monte Carlo Simulation for Time Value of Options and Guarantees Calculation," Ekonomia journal, Faculty of Economic Sciences, University of Warsaw, vol. 41.
  94. Zhiqiang Zhou & Wei Xu & Alexey Rubtsov, 2024. "Joint calibration of S&P 500 and VIX options under local stochastic volatility models," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 29(1), pages 273-310, January.
  95. Augusto Castillo, 2004. "Firm and Corporate Bond Valuation: A Simulation Dynamic Programming Approach," Latin American Journal of Economics-formerly Cuadernos de Economía, Instituto de Economía. Pontificia Universidad Católica de Chile., vol. 41(124), pages 345-360.
  96. Christian Bayer & Denis Belomestny & Paul Hager & Paolo Pigato & John Schoenmakers, 2020. "Randomized optimal stopping algorithms and their convergence analysis," Papers 2002.00816, arXiv.org.
  97. Xavier Warin, 2012. "Hedging Swing contract on gas markets," Papers 1208.5303, arXiv.org.
  98. 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.
  99. Michael A. Kouritzin & Anne MacKay, 2019. "Branching Particle Pricers with Heston Examples," Papers 1907.00219, arXiv.org, revised Nov 2019.
  100. Peimin Chen & Igor Kozhanov & Peng Liu & Chunchi Wu, 2021. "Commercial Mortgage‐Backed Security Pricing with Real Estate Liquidity Risk," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 49(S2), pages 490-525, September.
  101. Carmona, Julio & León, Angel & Vaello-Sebastià, Antoni, 2012. "Does stock return predictability affect ESO fair value?," European Journal of Operational Research, Elsevier, vol. 223(1), pages 188-202.
  102. Björn Bick & Holger Kraft & Claus Munk, 2013. "Solving Constrained Consumption-Investment Problems by Simulation of Artificial Market Strategies," Management Science, INFORMS, vol. 59(2), pages 485-503, June.
  103. Ling Lu & Wei Xu & Zhehui Qian, 2017. "Efficient willow tree method for European-style and American-style moving average barrier options pricing," Quantitative Finance, Taylor & Francis Journals, vol. 17(6), pages 889-906, June.
  104. Qiming Zhang & Linda Yin-nor Tjia & Biyue Wang & Aksel Ersoy, 2021. "Sustainable Construction and Financing—Asset-Backed Securitization of Expressway’s Usufruct with Redeemable Rights," Sustainability, MDPI, vol. 13(16), pages 1-17, August.
  105. Andrea Consiglio & Michele Tumminello & Stavros A. Zenios, 2018. "Pricing Sovereign Contingent Convertible Debt," Journal of Enterprising Culture (JEC), World Scientific Publishing Co. Pte. Ltd., vol. 21(08), pages 1-36, December.
  106. Christian Bender & Anastasia Kolodko & John Schoenmakers, 2008. "Enhanced policy iteration for American options via scenario selection," Quantitative Finance, Taylor & Francis Journals, vol. 8(2), pages 135-146.
  107. Zineb El Filali Ech-Chafiq & Pierre Henry-Labordere & Jérôme Lelong, 2021. "Pricing Bermudan options using regression trees/random forests," Working Papers hal-03436046, HAL.
  108. Carmona, Julio & León, Angel & Vaello-Sebastià, Antoni, 2011. "Pricing executive stock options under employment shocks," Journal of Economic Dynamics and Control, Elsevier, vol. 35(1), pages 97-114, January.
  109. Audrey Laude & Christian Jonen, 2011. "Biomass and CCS: The influence of the learning effect," Working Papers halshs-00829779, HAL.
  110. Tseng, Chung-Li & Zhu, Wei & Dmitriev, Alexandre, 2009. "Variable capacity utilization, ambient temperature shocks and generation asset valuation," Energy Economics, Elsevier, vol. 31(6), pages 888-896, November.
  111. Raj G. Patel & Chia-Wei Hsing & Serkan Sahin & Samuel Palmer & Saeed S. Jahromi & Shivam Sharma & Tomas Dominguez & Kris Tziritas & Christophe Michel & Vincent Porte & Mustafa Abid & Stephane Aubert &, 2022. "Quantum-Inspired Tensor Neural Networks for Option Pricing," Papers 2212.14076, arXiv.org, revised Mar 2024.
  112. Bastian Felix & Oliver Woll & Christoph Weber, 2013. "Gas storage valuation under limited market liquidity: an application in Germany," The European Journal of Finance, Taylor & Francis Journals, vol. 19(7-8), pages 715-733, September.
  113. ShahNazari, Mahdi & McHugh, Adam & Maybee, Bryan & Whale, Jonathan, 2014. "The effect of political cycles on power investment decisions: Expectations over the repeal and reinstatement of carbon policy mechanisms in Australia," Applied Energy, Elsevier, vol. 130(C), pages 157-165.
  114. Ida Bakke & Stein-Erik Fleten & Lars Ivar Hagfors & Verena Hagspiel & Beate Norheim & Sonja Wogrin, 2016. "Investment in electric energy storage under uncertainty: a real options approach," Computational Management Science, Springer, vol. 13(3), pages 483-500, July.
  115. Chow, Joseph Y.J. & Regan, Amelia C., 2011. "Network-based real option models," Transportation Research Part B: Methodological, Elsevier, vol. 45(4), pages 682-695, May.
  116. Christian Fries, 2005. "The Foresight Bias in Monte-Carlo Pricing of Options with Early," Finance 0511002, University Library of Munich, Germany, revised 08 Nov 2005.
  117. Kim, Young Shin & Lee, Jaesung & Mittnik, Stefan & Park, Jiho, 2015. "Quanto option pricing in the presence of fat tails and asymmetric dependence," Journal of Econometrics, Elsevier, vol. 187(2), pages 512-520.
  118. Len Patrick Dominic M. Garces & Gerald H. L. Cheang, 2021. "A numerical approach to pricing exchange options under stochastic volatility and jump-diffusion dynamics," Quantitative Finance, Taylor & Francis Journals, vol. 21(12), pages 2025-2054, December.
  119. Beatriz Salvador & Cornelis W. Oosterlee & Remco van der Meer, 2020. "Financial Option Valuation by Unsupervised Learning with Artificial Neural Networks," Mathematics, MDPI, vol. 9(1), pages 1-20, December.
  120. Xiaoyu Tan & Zili Zhang & Xuejun Zhao & Shuyi Wang, 2022. "DeepPricing: pricing convertible bonds based on financial time-series generative adversarial networks," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 8(1), pages 1-38, December.
  121. M. Martin Boyer & Lars Stentoft, 2017. "Yes We Can (Price Derivatives on Survivor Indices)," Risk Management and Insurance Review, American Risk and Insurance Association, vol. 20(1), pages 37-62, March.
  122. Inthavongsa, Inthanongsone & Drebenstedt, Carsten & Bongaerts, Jan & Sontamino, Phongpat, 2016. "Real options decision framework: Strategic operating policies for open pit mine planning," Resources Policy, Elsevier, vol. 47(C), pages 142-153.
  123. Somayeh Moazeni & Thomas Coleman & Yuying Li, 2016. "Smoothing and parametric rules for stochastic mean-CVaR optimal execution strategy," Annals of Operations Research, Springer, vol. 237(1), pages 99-120, February.
  124. Chris Kenyon & Andrew Green, 2014. "Efficient XVA Management: Pricing, Hedging, and Attribution using Trade-Level Regression and Global Conditioning," Papers 1412.5332, arXiv.org, revised Dec 2014.
  125. Joseph Y. J. Chow & Amelia C. Regan, 2011. "Real Option Pricing of Network Design Investments," Transportation Science, INFORMS, vol. 45(1), pages 50-63, February.
  126. Yiju Ma & Kevin Swandi & Archie Chapman & Gregor Verbic, 2019. "Multi-Stage Compound Real Options Valuation in Residential PV-Battery Investment," Papers 1910.09132, arXiv.org.
  127. Lisa Borland & Jean-Philippe Bouchaud & Jean-Francois Muzy & Gilles Zumbach, 2005. "The Dynamics of Financial Markets -- Mandelbrot's multifractal cascades, and beyond," Science & Finance (CFM) working paper archive 500061, Science & Finance, Capital Fund Management.
  128. repec:hum:wpaper:sfb649dp2006-051 is not listed on IDEAS
  129. Nteukam T., Oberlain & Planchet, Frédéric, 2012. "Stochastic evaluation of life insurance contracts: Model point on asset trajectories and measurement of the error related to aggregation," Insurance: Mathematics and Economics, Elsevier, vol. 51(3), pages 624-631.
  130. Kyungcheol Shin & Jinyeong Lee, 2024. "Investment Decision for Long-Term Battery Energy Storage System Using Least Squares Monte Carlo," Energies, MDPI, vol. 17(9), pages 1-15, April.
  131. Assereto, Martina & Byrne, Julie, 2021. "No real option for solar in Ireland: A real option valuation of utility scale solar investment in Ireland," Renewable and Sustainable Energy Reviews, Elsevier, vol. 143(C).
  132. Jin, Xing & Li, Xun & Tan, Hwee Huat & Wu, Zhenyu, 2013. "A computationally efficient state-space partitioning approach to pricing high-dimensional American options via dimension reduction," European Journal of Operational Research, Elsevier, vol. 231(2), pages 362-370.
  133. Leonardo Kanashiro Felizardo & Elia Matsumoto & Emilio Del-Moral-Hernandez, 2022. "Solving the optimal stopping problem with reinforcement learning: an application in financial option exercise," Papers 2208.00765, arXiv.org.
  134. Seiji Harikae & James S. Dyer & Tianyang Wang, 2021. "Valuing Real Options in the Volatile Real World," Production and Operations Management, Production and Operations Management Society, vol. 30(1), pages 171-189, January.
  135. Michael A. Kouritzin, 2016. "Explicit Heston Solutions and Stochastic Approximation for Path-dependent Option Pricing," Papers 1608.02028, arXiv.org, revised Apr 2018.
  136. Chen, Ze & Chen, Bingzheng & Dhaene, Jan & Yang, Tianyu, 2021. "Fair dynamic valuation of insurance liabilities via convex hedging," Insurance: Mathematics and Economics, Elsevier, vol. 98(C), pages 1-13.
  137. Lung-Fu Chang & Mao-Wei Hung, 2006. "Valuation of vulnerable American options with correlated credit risk," Review of Derivatives Research, Springer, vol. 9(2), pages 137-165, September.
  138. Svenstrup, Mikkel, 2003. "On the Suboptimality of Single-Factor Exercise Strategies for Bermudan Swaptions," Finance Working Papers 02-24, University of Aarhus, Aarhus School of Business, Department of Business Studies.
  139. Gamba, Andrea & Rigon, Riccardo, 2008. "The value of embedded real options: Evidence from consumer automobile lease contracts--A note," Finance Research Letters, Elsevier, vol. 5(4), pages 213-220, December.
  140. Masanori Hirano & Kentaro Imajo & Kentaro Minami & Takuya Shimada, 2023. "Efficient Learning of Nested Deep Hedging using Multiple Options," Papers 2305.12264, arXiv.org.
  141. 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.
  142. Alessandro Gnoatto & Athena Picarelli & Christoph Reisinger, 2020. "Deep xVA solver -- A neural network based counterparty credit risk management framework," Papers 2005.02633, arXiv.org, revised Dec 2022.
  143. Frank Bosserhoff & An Chen & Nils Sorensen & Mitja Stadje, 2021. "On the Investment Strategies in Occupational Pension Plans," Papers 2104.08956, arXiv.org.
  144. Alessio Trivella & Danial Mohseni-Taheri & Selvaprabu Nadarajah, 2023. "Meeting Corporate Renewable Power Targets," Management Science, INFORMS, vol. 69(1), pages 491-512, January.
  145. Xiao, Tim, 2018. "The Valuation of Credit Default Swap with Counterparty Risk and Collateralization," EconStor Preprints 203447, ZBW - Leibniz Information Centre for Economics.
  146. Calypso Herrera & Florian Krach & Pierre Ruyssen & Josef Teichmann, 2021. "Optimal Stopping via Randomized Neural Networks," Papers 2104.13669, arXiv.org, revised Dec 2023.
  147. Bender, Christian & Denk, Robert, 2007. "A forward scheme for backward SDEs," Stochastic Processes and their Applications, Elsevier, vol. 117(12), pages 1793-1812, December.
  148. Grillo, Sebastian & Blanco, Gerardo & Schaerer, Christian E., 2015. "Path integration for real options," Applied Mathematics and Computation, Elsevier, vol. 265(C), pages 120-132.
  149. Francis A. Longstaff, 2004. "Optimal Recursive Refinancing and the Valuation of Mortgage-Backed Securities," NBER Working Papers 10422, National Bureau of Economic Research, Inc.
  150. J. Lars Kirkby & Shi-Jie Deng, 2019. "Swing Option Pricing By Dynamic Programming With B-Spline Density Projection," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 22(08), pages 1-53, December.
  151. Victor Duarte & Diogo Duarte & Dejanir H. Silva, 2024. "Machine Learning for Continuous-Time Finance," CESifo Working Paper Series 10909, CESifo.
  152. Denis Belomestny & Christian Bender & John Schoenmakers, 2009. "True Upper Bounds For Bermudan Products Via Non‐Nested Monte Carlo," Mathematical Finance, Wiley Blackwell, vol. 19(1), pages 53-71, January.
  153. Petter Bjerksund & Gunnar Stensland & Frank Vagstad, 2011. "Gas Storage Valuation: Price Modelling v. Optimization Methods," The Energy Journal, International Association for Energy Economics, vol. 0(Number 1), pages 203-228.
  154. Chuang-Chang Chang & Jun-Biao Lin & Wei-Che Tsai & Yaw-Huei Wang, 2012. "Using Richardson extrapolation techniques to price American options with alternative stochastic processes," Review of Quantitative Finance and Accounting, Springer, vol. 39(3), pages 383-406, October.
  155. Warren J. Hahn & James S. Dyer, 2011. "A Discrete Time Approach for Modeling Two-Factor Mean-Reverting Stochastic Processes," Decision Analysis, INFORMS, vol. 8(3), pages 220-232, September.
  156. Thomas Aspinall & Adrian Gepp & Geoff Harris & Simone Kelly & Colette Southam & Bruce Vanstone, 2021. "Estimation of a term structure model of carbon prices through state space methods: The European Union emissions trading scheme," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 61(2), pages 3797-3819, June.
  157. Pietro Rossi & Flavio Cocco & Giacomo Bormetti, 2020. "Deep learning Profit & Loss," Papers 2006.09955, arXiv.org, revised Aug 2020.
  158. Berridge, S.J. & Schumacher, J.M., 2004. "Using Localised Quadratic Functions on an Irregular Grid for Pricing High-Dimensional American Options," Discussion Paper 2004-20, Tilburg University, Center for Economic Research.
  159. Michael A. Kouritzin, 2018. "Explicit Heston Solutions And Stochastic Approximation For Path-Dependent Option Pricing," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 21(01), pages 1-45, February.
  160. Joerg Kampen & Anastasia Kolodko & John Schoenmakers, 2008. "Monte Carlo Greeks for financial products via approximative transition densities," Papers 0807.1213, arXiv.org.
  161. Stefan Haring & Ronald Hochreiter, 2015. "Efficient and robust calibration of the Heston option pricing model for American options using an improved Cuckoo Search Algorithm," Papers 1507.08937, arXiv.org.
  162. 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.
  163. Andrea Gamba & Nicola Fusari, 2009. "Valuing Modularity as a Real Option," Management Science, INFORMS, vol. 55(11), pages 1877-1896, November.
  164. Linnerud, Kristin & Andersson, Ane Marte & Fleten, Stein-Erik, 2014. "Investment timing under uncertain renewable energy policy: An empirical study of small hydropower projects," Energy, Elsevier, vol. 78(C), pages 154-164.
  165. Zhu, Shushang & Zhu, Wei & Pei, Xi & Cui, Xueting, 2020. "Hedging crash risk in optimal portfolio selection," Journal of Banking & Finance, Elsevier, vol. 119(C).
  166. Huang, Haishi, 2010. "Convertible Bonds: Default Risk and Uncertain Volatility," Bonn Econ Discussion Papers 09/2010, University of Bonn, Bonn Graduate School of Economics (BGSE).
  167. Philipp N. Baecker, 2007. "Real Options and Intellectual Property," Lecture Notes in Economics and Mathematical Systems, Springer, number 978-3-540-48264-2, July.
  168. Guglielmo Caporale & Mario Cerrato, 2010. "Using Chebyshev Polynomials to Approximate Partial Differential Equations," Computational Economics, Springer;Society for Computational Economics, vol. 35(3), pages 235-244, March.
  169. 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.
  170. Zineb El Filali Ech-Chafiq & Pierre Henry-Labordere & J'er^ome Lelong, 2021. "Pricing Bermudan options using regression trees/random forests," Papers 2201.02587, arXiv.org, revised Jun 2023.
  171. Guillaume Leduc & Merima Nurkanovic Hot, 2020. "Joshi’s Split Tree for Option Pricing," Risks, MDPI, vol. 8(3), pages 1-26, August.
  172. Etienne Chevalier & Sergio Pulido & Elizabeth Zúñiga, 2022. "American options in the Volterra Heston model," Post-Print hal-03178306, HAL.
  173. Ben Zineb Tarik & Gobet Emmanuel, 2013. "Preliminary control variates to improve empirical regression methods," Monte Carlo Methods and Applications, De Gruyter, vol. 19(4), pages 331-354, December.
  174. Antonio Cosma & Stefano Galluccio & Paola Pederzoli & O. Scaillet, 2012. "Valuing American Options Using Fast Recursive Projections," Swiss Finance Institute Research Paper Series 12-26, Swiss Finance Institute.
  175. Yuval Arbel & Danny Ben-Shahar & Eyal Sulganik, 2009. "Mean Reversion and Momentum: Another Look at the Price-Volume Correlation in the Real Estate Market," The Journal of Real Estate Finance and Economics, Springer, vol. 39(3), pages 316-335, October.
  176. Farina Weiss, 2021. "A numerical approach to solve consumption-portfolio problems with predictability in income, stock prices, and house prices," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 93(1), pages 33-81, February.
  177. Blessing Taruvinga & Boda Kang & Christina Sklibosios Nikitopoulos, 2018. "Pricing American Options with Jumps in Asset and Volatility," Research Paper Series 394, Quantitative Finance Research Centre, University of Technology, Sydney.
  178. Joseph Y. J. Chow & Hamid R. Sayarshad, 2016. "Reference Policies for Non-myopic Sequential Network Design and Timing Problems," Networks and Spatial Economics, Springer, vol. 16(4), pages 1183-1209, December.
  179. Helin Zhu & Fan Ye & Enlu Zhou, 2015. "Fast estimation of true bounds on Bermudan option prices under jump-diffusion processes," Quantitative Finance, Taylor & Francis Journals, vol. 15(11), pages 1885-1900, November.
  180. Denis Belomestny & Grigori Milstein & Vladimir Spokoiny, 2009. "Regression methods in pricing American and Bermudan options using consumption processes," Quantitative Finance, Taylor & Francis Journals, vol. 9(3), pages 315-327.
  181. Schwartz, Eduardo S., 2002. "Patents and R& D as Real Options," University of California at Los Angeles, Anderson Graduate School of Management qt86b1n43k, Anderson Graduate School of Management, UCLA.
  182. Jafarizadeh, Babak, 2012. "Information acquisition as an American option," Energy Economics, Elsevier, vol. 34(3), pages 807-816.
  183. Arnaud Porchet & Nizar Touzi & Xavier Warin, 2009. "Valuation of power plants by utility indifference and numerical computation," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 70(1), pages 47-75, August.
  184. repec:grz:wpsses:2011-01 is not listed on IDEAS
  185. David Lee, 2018. "Pricing Financial Derivatives Subject to Counterparty Risk and Credit Value Adjustment," Working Papers hal-01758922, HAL.
  186. Ewald, Christian Oliver & Nolan, Charles, 2024. "On the adaptation of the Lagrange formalism to continuous time stochastic optimal control: A Lagrange-Chow redux," Journal of Economic Dynamics and Control, Elsevier, vol. 162(C).
  187. Dai, Min & Li, Peifan & Zhang, Jin E., 2010. "A lattice algorithm for pricing moving average barrier options," Journal of Economic Dynamics and Control, Elsevier, vol. 34(3), pages 542-554, March.
  188. Jason Brown & Nida Çakır Melek & Johannes Matschke & Sai Sattiraju, 2023. "The Missing Tail Risk in Option Prices," Research Working Paper RWP 23-02, Federal Reserve Bank of Kansas City.
  189. David Heath & Eckhard Platen, 2002. "A variance reduction technique based on integral representations," Quantitative Finance, Taylor & Francis Journals, vol. 2(5), pages 362-369.
  190. Lin, X. Sheldon & Yang, Shuai, 2020. "Fast and efficient nested simulation for large variable annuity portfolios: A surrogate modeling approach," Insurance: Mathematics and Economics, Elsevier, vol. 91(C), pages 85-103.
  191. Rongju Zhang & Nicolas Langren'e & Yu Tian & Zili Zhu & Fima Klebaner & Kais Hamza, 2018. "Local Control Regression: Improving the Least Squares Monte Carlo Method for Portfolio Optimization," Papers 1803.11467, arXiv.org, revised Sep 2018.
  192. Mingbin Ben Feng & Eunhye Song, 2020. "Efficient Nested Simulation Experiment Design via the Likelihood Ratio Method," Papers 2008.13087, arXiv.org, revised May 2024.
  193. Lin Zhao & Sweder van Wijnbergen, 2015. "Asset Pricing in Incomplete Markets: Valuing Gas Storage Capacity," Tinbergen Institute Discussion Papers 15-104/VI/DSF95, Tinbergen Institute.
  194. Antoine Jacquier & Zan Zuric, 2023. "Random neural networks for rough volatility," Papers 2305.01035, arXiv.org.
  195. Jenö Pál & John Stachurski, 2011. "Fitted Value Function Iteration With Probability One Contractions," ANU Working Papers in Economics and Econometrics 2011-560, Australian National University, College of Business and Economics, School of Economics.
  196. Chen, Siyuan & Zhang, Qi & Li, Hailong & Mclellan, Benjamin & Zhang, Tiantian & Tan, Zhizhou, 2019. "Investment decision on shallow geothermal heating & cooling based on compound options model: A case study of China," Applied Energy, Elsevier, vol. 254(C).
  197. Manuel Moreno & Javier Navas, 2003. "On the Robustness of Least-Squares Monte Carlo (LSM) for Pricing American Derivatives," Review of Derivatives Research, Springer, vol. 6(2), pages 107-128, May.
  198. Ursula Silveira Monteiro de Lima & Carlos Patricio Samanez, 2016. "Complex derivatives valuation: applying the Least-Squares Monte Carlo Simulation Method with several polynomial basis," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 2(1), pages 1-14, December.
  199. L. Jeff Hong & Sandeep Juneja & Guangwu Liu, 2017. "Kernel Smoothing for Nested Estimation with Application to Portfolio Risk Measurement," Operations Research, INFORMS, vol. 65(3), pages 657-673, June.
  200. Arturo Leccadito & Pietro Toscano & Radu S. Tunaru, 2012. "Hermite Binomial Trees: A Novel Technique For Derivatives Pricing," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 15(08), pages 1-36.
  201. Christian Hilpert, 2020. "The Effect of Risk Aversion and Loss Aversion on Equity‐Linked Life Insurance With Surrender Guarantees," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 87(3), pages 665-687, September.
  202. Bertrand Tavin & Lorenz Schneider, 2018. "From the Samuelson volatility effect to a Samuelson correlation effect : An analysis of crude oil calendar spread options," Post-Print hal-02311970, HAL.
  203. Nicola Cantarutti & Jo~ao Guerra, 2016. "Multinomial method for option pricing under Variance Gamma," Papers 1701.00112, arXiv.org, revised Feb 2018.
  204. Marie Bernhart & Peter Tankov & Xavier Warin, 2010. "A finite dimensional approximation for pricing moving average options," Papers 1011.3599, arXiv.org.
  205. Luis M. Abadie & José M. Chamorro, 2009. "Monte Carlo valuation of natural gas investments," Review of Financial Economics, John Wiley & Sons, vol. 18(1), pages 10-22, January.
  206. Jain, Shashi & Roelofs, Ferry & Oosterlee, Cornelis W., 2013. "Valuing modular nuclear power plants in finite time decision horizon," Energy Economics, Elsevier, vol. 36(C), pages 625-636.
  207. Cui, Zhenyu & Lars Kirkby, J. & Nguyen, Duy, 2019. "A general framework for time-changed Markov processes and applications," European Journal of Operational Research, Elsevier, vol. 273(2), pages 785-800.
  208. Nemat Safarov & Colin Atkinson, 2016. "Natural gas-fired power plants valuation and optimisation under Levy copulas and regime-switching," Papers 1607.01207, arXiv.org, revised Jul 2016.
  209. Pan, Yingjie & Yao, Xing & Wang, Xin & Zhu, Lei, 2019. "Policy uncertainties: What investment choice for solar panel producers?," Energy Economics, Elsevier, vol. 78(C), pages 454-467.
  210. Ibáñez, Alfredo, 2005. "Option-pricing in incomplete markets: the hedging portfolio plus a risk premium-based recursive approach," DEE - Working Papers. Business Economics. WB wb058121, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa.
  211. Yasuhiro Tamba, 2005. "Pricing a Bermudan Swaption with a Short Rate Lattice Method," Discussion Papers in Economics and Business 05-03, Osaka University, Graduate School of Economics.
  212. Sadoghi, Amirhossein & Vecer, Jan, 2022. "Optimal liquidation problem in illiquid markets," European Journal of Operational Research, Elsevier, vol. 296(3), pages 1050-1066.
  213. Shuai Gao & Jun Zhao, 2016. "Pricing 50ETF in the Way of American Options Based on Least Squares Monte Carlo Simulation," Applied Finance and Accounting, Redfame publishing, vol. 2(2), pages 71-76, August.
  214. Joel P. Villarino & 'Alvaro Leitao, 2024. "On Deep Learning for computing the Dynamic Initial Margin and Margin Value Adjustment," Papers 2407.16435, arXiv.org.
  215. Hahn, Warren J. & Dyer, James S., 2008. "Discrete time modeling of mean-reverting stochastic processes for real option valuation," European Journal of Operational Research, Elsevier, vol. 184(2), pages 534-548, January.
  216. Benjamin Tin Chun Cheng, 2017. "Pricing and Hedging of Long-Dated Commodity Derivatives," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2-2017, January-A.
  217. Yuchao Dong, 2022. "Randomized Optimal Stopping Problem in Continuous time and Reinforcement Learning Algorithm," Papers 2208.02409, arXiv.org, revised Sep 2023.
  218. repec:uts:finphd:37 is not listed on IDEAS
  219. Antonio L. Martire & Emilio Russo & Alessandro Staino, 2023. "Surrender and path-dependent guarantees in variable annuities: integral equation solutions and benchmark methods," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 46(1), pages 177-220, June.
  220. Haojie Wang & Han Chen & Agus Sudjianto & Richard Liu & Qi Shen, 2018. "Deep Learning-Based BSDE Solver for Libor Market Model with Application to Bermudan Swaption Pricing and Hedging," Papers 1807.06622, arXiv.org, revised Sep 2018.
  221. Han, Chuan-Hsiang & Lai, Yongzeng, 2010. "A smooth estimator for MC/QMC methods in finance," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 81(3), pages 536-550.
  222. A. Max Reppen & H. Mete Soner & Valentin Tissot-Daguette, 2022. "Deep Stochastic Optimization in Finance," Papers 2205.04604, arXiv.org.
  223. Ludovic Gouden`ege & Andrea Molent & Xiao Wei & Antonino Zanette, 2024. "Enhancing Valuation of Variable Annuities in L\'evy Models with Stochastic Interest Rate," Papers 2404.07658, arXiv.org.
  224. Laminou Abdou, Souleymane & Moraux, Franck, 2016. "Pricing and hedging American and hybrid strangles with finite maturity," Journal of Banking & Finance, Elsevier, vol. 62(C), pages 112-125.
  225. Panagiotis Christodoulou & Nils Detering & Thilo Meyer-Brandis, 2017. "Local risk-minimization with multiple assets under illiquidity with applications in energy markets," Papers 1705.06918, arXiv.org, revised Jun 2018.
  226. Amirhossein Sadoghi & Jan Vecer, 2022. "Optimal liquidation problem in illiquid markets," Post-Print hal-03696768, HAL.
  227. Weeratunge, Hansani & Aditya, Gregorius Riyan & Dunstall, Simon & de Hoog, Julian & Narsilio, Guillermo & Halgamuge, Saman, 2021. "Feasibility and performance analysis of hybrid ground source heat pump systems in fourteen cities," Energy, Elsevier, vol. 234(C).
  228. Zafar Ahmad & Reilly Browne & Rezaul Chowdhury & Rathish Das & Yushen Huang & Yimin Zhu, 2023. "Fast American Option Pricing using Nonlinear Stencils," Papers 2303.02317, arXiv.org, revised Oct 2023.
  229. Mark Broadie & Jerome B. Detemple, 2004. "ANNIVERSARY ARTICLE: Option Pricing: Valuation Models and Applications," Management Science, INFORMS, vol. 50(9), pages 1145-1177, September.
  230. 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.
  231. Marat Kramin & Saikat Nandi & Alexander Shulman, 2008. "A multi-factor Markovian HJM model for pricing American interest rate derivatives," Review of Quantitative Finance and Accounting, Springer, vol. 31(4), pages 359-378, November.
  232. Minqiang Li, 2010. "Analytical approximations for the critical stock prices of American options: a performance comparison," Review of Derivatives Research, Springer, vol. 13(1), pages 75-99, April.
  233. Ron Kaniel & Stathis Tompaidis & Alexander Zemlianov, 2008. "Efficient Computation of Hedging Parameters for Discretely Exercisable Options," Operations Research, INFORMS, vol. 56(4), pages 811-826, August.
  234. S. G. Kou & Hui Wang, 2004. "Option Pricing Under a Double Exponential Jump Diffusion Model," Management Science, INFORMS, vol. 50(9), pages 1178-1192, September.
  235. Samim Ghamami & Bo Zhang, 2014. "Efficient Monte Carlo Counterparty Credit Risk Pricing and Measurement," Finance and Economics Discussion Series 2014-114, Board of Governors of the Federal Reserve System (U.S.).
  236. Iván de la Fuente & Eliseo Navarro & Gregorio Serna, 2020. "Reverse Mortgage Risks. Time Evolution of VaR in Lump-Sum Solutions," Mathematics, MDPI, vol. 8(11), pages 1-17, November.
  237. Ivan Guo & Nicolas Langrené & Gregoire Loeper & Wei Ning, 2020. "Robust utility maximization under model uncertainty via a penalization approach," Working Papers hal-02910261, HAL.
  238. Savas Dayanik & Christian Goulding & H. Vincent Poor, 2008. "Bayesian Sequential Change Diagnosis," Mathematics of Operations Research, INFORMS, vol. 33(2), pages 475-496, May.
  239. Chia-Chien Chang & Min-Teh Yu, 2017. "Valuing Vulnerable Mortgage Insurance Under Capital Forbearance," The Journal of Real Estate Finance and Economics, Springer, vol. 54(4), pages 558-578, May.
  240. Xiaolin Luo & Pavel V. Shevchenko, 2014. "Fast and Simple Method for Pricing Exotic Options using Gauss-Hermite Quadrature on a Cubic Spline Interpolation," Papers 1408.6938, arXiv.org, revised Dec 2014.
  241. Ankirchner, Stefan & Schneider, Judith C. & Schweizer, Nikolaus, 2014. "Cross-hedging minimum return guarantees: Basis and liquidity risks," Journal of Economic Dynamics and Control, Elsevier, vol. 41(C), pages 93-109.
  242. Hanna J. Ihli & Syster C. Maart-Noelck & Oliver Musshoff, 2014. "Does timing matter? A real options experiment to farmers' investment and disinvestment behaviours," Australian Journal of Agricultural and Resource Economics, Australian Agricultural and Resource Economics Society, vol. 58(3), pages 430-452, July.
  243. Francesca Erica Di Girolamo & Francesca Campolongo & Jan De Spiegeleer & Wim Schoutens, 2017. "Contingent conversion convertible bond: New avenue to raise bank capital," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 4(01), pages 1-31, March.
  244. Rios-Festner, Daniel & Blanco, Gerardo & Olsina, Fernando, 2020. "Long-term assessment of power capacity incentives by modeling generation investment dynamics under irreversibility and uncertainty," Energy Policy, Elsevier, vol. 137(C).
  245. Matt Thompson & Matt Davison & Henning Rasmussen, 2009. "Natural gas storage valuation and optimization: A real options application," Naval Research Logistics (NRL), John Wiley & Sons, vol. 56(3), pages 226-238, April.
  246. David Laughton & Raul Guerrero & Donald Lessard, 2008. "Real Asset Valuation: A Back‐to‐basics Approach," Journal of Applied Corporate Finance, Morgan Stanley, vol. 20(2), pages 46-65, March.
  247. Konstantinos Konstantaras, & Vasilios Sogiakas, 2014. "The role of convenience yield in going-private transactions," CFI Discussion Papers 1401, Centre for Finance and Investment, Heriot Watt University.
  248. Aïd, René & Campi, Luciano & Langrené, Nicolas & Pham, Huyên, 2014. "A probabilistic numerical method for optimal multiple switching problems in high dimension," LSE Research Online Documents on Economics 63011, London School of Economics and Political Science, LSE Library.
  249. 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.
  250. Lars Stentoft, 2008. "Option Pricing using Realized Volatility," CREATES Research Papers 2008-13, Department of Economics and Business Economics, Aarhus University.
  251. Mo, Jian-Lei & Agnolucci, Paolo & Jiang, Mao-Rong & Fan, Ying, 2016. "The impact of Chinese carbon emission trading scheme (ETS) on low carbon energy (LCE) investment," Energy Policy, Elsevier, vol. 89(C), pages 271-283.
  252. Lim, Terence & Lo, Andrew W. & Merton, Robert C. & Scholes, Myron S., 2006. "The Derivatives Sourcebook," Foundations and Trends(R) in Finance, now publishers, vol. 1(5–6), pages 365-572, April.
  253. Grzegorz Krzy.zanowski & Marcin Magdziarz, 2020. "A computational weighted finite difference method for American and barrier options in subdiffusive Black-Scholes model," Papers 2003.05358, arXiv.org, revised Dec 2020.
  254. D. P. de Farias & B. Van Roy, 2003. "The Linear Programming Approach to Approximate Dynamic Programming," Operations Research, INFORMS, vol. 51(6), pages 850-865, December.
  255. Maya Briani & Lucia Caramellino & Giulia Terenzi & Antonino Zanette, 2016. "Numerical stability of a hybrid method for pricing options," Papers 1603.07225, arXiv.org, revised Dec 2019.
  256. Doan, Viet_Dung & Gaikwad, Abhijeet & Bossy, Mireille & Baude, Françoise & Stokes-Rees, Ian, 2010. "Parallel pricing algorithms for multi-dimensional Bermudan/American options using Monte Carlo methods," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 81(3), pages 568-577.
  257. Michael W. Brandt & Amit Goyal & Pedro Santa-Clara & Jonathan R. Stroud, 2005. "A Simulation Approach to Dynamic Portfolio Choice with an Application to Learning About Return Predictability," The Review of Financial Studies, Society for Financial Studies, vol. 18(3), pages 831-873.
  258. Detemple, Jerome & Kitapbayev, Yerkin, 2022. "Optimal technology adoption for power generation," Energy Economics, Elsevier, vol. 111(C).
  259. Hieronymi, Philipp & Schüller, David, 2015. "The Clean-Development Mechanism, stochastic permit prices and energy investments," Energy Economics, Elsevier, vol. 47(C), pages 25-36.
  260. L. C. G. Rogers, 2015. "Bermudan options by simulation," Papers 1508.06117, arXiv.org, revised Jan 2016.
  261. Alessio Trivella & Selvaprabu Nadarajah & Stein-Erik Fleten & Denis Mazieres & David Pisinger, 2021. "Managing Shutdown Decisions in Merchant Commodity and Energy Production: A Social Commerce Perspective," Manufacturing & Service Operations Management, INFORMS, vol. 23(2), pages 311-330, March.
  262. Lee, Sangmin & Boomsma, Trine Krogh, 2022. "An approximate dynamic programming algorithm for short-term electric vehicle fleet operation under uncertainty," Applied Energy, Elsevier, vol. 325(C).
  263. Hlouskova, Jaroslava & Kossmeier, Stephan & Obersteiner, Michael & Schnabl, Alexander, 2005. "Real options and the value of generation capacity in the German electricity market," Review of Financial Economics, Elsevier, vol. 14(3-4), pages 297-310.
  264. Xiao,Tim, 2018. "Pricing Financial Derivatives Subject to Multilateral Credit Risk and Collateralization," EconStor Preprints 202075, ZBW - Leibniz Information Centre for Economics.
  265. Azimi, Yousuf & Osanloo, Morteza & Esfahanipour, Akbar, 2013. "An uncertainty based multi-criteria ranking system for open pit mining cut-off grade strategy selection," Resources Policy, Elsevier, vol. 38(2), pages 212-223.
  266. Rojas-Bernal, Alejandro & Villamizar-Villegas, Mauricio, 2021. "Pricing the exotic: Path-dependent American options with stochastic barriers," Latin American Journal of Central Banking (previously Monetaria), Elsevier, vol. 2(1).
  267. Shun Chen & Shiyuan Zheng & Qiang Zhang, 2018. "Investment decisions under uncertainty on LNG-powered vessels for environmental compliance," Journal of Shipping and Trade, Springer, vol. 3(1), pages 1-19, December.
  268. Shen, Jinye & Huang, Weizhang & Ma, Jingtang, 2024. "An efficient and provable sequential quadratic programming method for American and swing option pricing," European Journal of Operational Research, Elsevier, vol. 316(1), pages 19-35.
  269. Young Shin Kim, 2021. "Sample path generation of the stochastic volatility CGMY process and its application to path-dependent option pricing," Papers 2101.11001, arXiv.org.
  270. Yu, Xisheng & Xie, Xiaoke, 2015. "Pricing American options: RNMs-constrained entropic least-squares approach," The North American Journal of Economics and Finance, Elsevier, vol. 31(C), pages 155-173.
  271. M. Gardini & P. Sabino & E. Sasso, 2021. "The Variance Gamma++ Process and Applications to Energy Markets," Papers 2106.15452, arXiv.org.
  272. Nan Chen & Paul Glasserman, 2007. "Additive and multiplicative duals for American option pricing," Finance and Stochastics, Springer, vol. 11(2), pages 153-179, April.
  273. Lee, Jung-Kyung, 2020. "A simple numerical method for pricing American power put options," Chaos, Solitons & Fractals, Elsevier, vol. 139(C).
  274. John Ery & Loris Michel, 2021. "Solving optimal stopping problems with Deep Q-Learning," Papers 2101.09682, arXiv.org, revised Jun 2024.
  275. Yisong S. Tian, 2020. "Enhancing managerial equity incentives with moving average payoffs," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(10), pages 1562-1583, October.
  276. Seyed Amir Hejazi & Kenneth R. Jackson, 2016. "Efficient Valuation of SCR via a Neural Network Approach," Papers 1610.01946, arXiv.org.
  277. Wenting Chen & Kai Du & Xinzi Qiu, 2017. "Analytic properties of American option prices under a modified Black-Scholes equation with spatial fractional derivatives," Papers 1701.01515, arXiv.org.
  278. Simon Lysbjerg Hansen, 2005. "A Malliavin-based Monte-Carlo Approach for Numerical Solution of Stochastic Control Problems: Experiences from Merton's Problem," Computing in Economics and Finance 2005 391, Society for Computational Economics.
  279. Zhongkai Liu & Tao Pang, 2016. "An efficient grid lattice algorithm for pricing American-style options," International Journal of Financial Markets and Derivatives, Inderscience Enterprises Ltd, vol. 5(1), pages 36-55.
  280. D. Andricopoulos, Ari & Widdicks, Martin & Newton, David P. & Duck, Peter W., 2007. "Extending quadrature methods to value multi-asset and complex path dependent options," Journal of Financial Economics, Elsevier, vol. 83(2), pages 471-499, February.
  281. Tubetov, Dulat & Maart, Syster Christin & Musshoff, Oliver, 2012. "Comparison of the investment behavior of Kazakhstani and German farmers: An experimental approach," 2012 Annual Meeting, August 12-14, 2012, Seattle, Washington 124650, Agricultural and Applied Economics Association.
  282. Juri Hinz & Alex Novikov, 2009. "On Fair Pricing of Emission-Related Derivatives," Research Paper Series 257, Quantitative Finance Research Centre, University of Technology, Sydney.
  283. Haehl, Christian & Spinler, Stefan, 2018. "Capacity expansion under regulatory uncertainty:A real options-based study in international container shipping," Transportation Research Part E: Logistics and Transportation Review, Elsevier, vol. 113(C), pages 75-93.
  284. Jiawei Huo, 2023. "Finite Difference Solution Ansatz approach in Least-Squares Monte Carlo," Papers 2305.09166, arXiv.org, revised Aug 2024.
  285. Thomas Krabichler & Josef Teichmann, 2020. "Deep Replication of a Runoff Portfolio," Papers 2009.05034, arXiv.org.
  286. Mehrdoust, Farshid & Noorani, Idin & Hamdi, Abdelouahed, 2023. "Two-factor Heston model equipped with regime-switching: American option pricing and model calibration by Levenberg–Marquardt optimization algorithm," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 204(C), pages 660-678.
  287. Fan, Chenxi & Luo, Xingguo & Wu, Qingbiao, 2017. "Stochastic volatility vs. jump diffusions: Evidence from the Chinese convertible bond market," International Review of Economics & Finance, Elsevier, vol. 49(C), pages 1-16.
  288. Belssing Taruvinga, 2019. "Solving Selected Problems on American Option Pricing with the Method of Lines," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 4-2019, January-A.
  289. Lei Zhu & ZhongXiang Zhang & Ying Fan, 2011. "An evaluation of overseas oil investment projects under uncertainty using a real options based simulation model," Economics Study Area Working Papers 121, East-West Center, Economics Study Area.
  290. Guay, François & Schwenkler, Gustavo, 2021. "Efficient estimation and filtering for multivariate jump–diffusions," Journal of Econometrics, Elsevier, vol. 223(1), pages 251-275.
  291. Rongju Zhang & Nicolas Langrené & Yu Tian & Zili Zhu & Fima Klebaner & Kais Hamza, 2019. "Skewed target range strategy for multiperiod portfolio optimization using a two-stage least squares Monte Carlo method," Post-Print hal-02909342, HAL.
  292. T. Pellegrino & P. Sabino, 2015. "Enhancing Least Squares Monte Carlo with diffusion bridges: an application to energy facilities," Quantitative Finance, Taylor & Francis Journals, vol. 15(5), pages 761-772, May.
  293. Jan Natolski & Ralf Werner, 2017. "Mathematical Analysis of Replication by Cash Flow Matching," Risks, MDPI, vol. 5(1), pages 1-15, February.
  294. Gilles Pag`es & Benedikt Wilbertz, 2011. "GPGPUs in computational finance: Massive parallel computing for American style options," Papers 1101.3228, arXiv.org.
  295. Audrey LAUDE, 2011. "Uncertainty about long term climate targets: A real option approach to investment appraisal," LEO Working Papers / DR LEO 1711, Orleans Economics Laboratory / Laboratoire d'Economie d'Orleans (LEO), University of Orleans.
  296. Yao Tung Huang & Yue Kuen Kwok, 2016. "Regression-based Monte Carlo methods for stochastic control models: variable annuities with lifelong guarantees," Quantitative Finance, Taylor & Francis Journals, vol. 16(6), pages 905-928, June.
  297. Junkee Jeon & Jeonggyu Huh & Kyunghyun Park, 2020. "An Analytic Approximation for Valuation of the American Option Under the Heston Model in Two Regimes," Computational Economics, Springer;Society for Computational Economics, vol. 56(2), pages 499-528, August.
  298. Lokman A. Abbas-Turki & Stéphane Crépey & Babacar Diallo, 2018. "Xva Principles, Nested Monte Carlo Strategies, And Gpu Optimizations," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 21(06), pages 1-40, September.
  299. Alois Geyer & Michael Hanke & Alex Weissensteiner, 2009. "A stochastic programming approach for multi-period portfolio optimization," Computational Management Science, Springer, vol. 6(2), pages 187-208, May.
  300. Aur'elien Alfonsi & Ahmed Kebaier & J'er^ome Lelong, 2024. "A pure dual approach for hedging Bermudan options," Papers 2404.18761, arXiv.org, revised Oct 2024.
  301. Mombello, Bruno & Olsina, Fernando & Pringles, Rolando, 2023. "Valuing photovoltaic power plants by compound real options," Renewable Energy, Elsevier, vol. 216(C).
  302. Henrique Guerreiro & Jo~ao Guerra, 2021. "Least squares Monte Carlo methods in stochastic Volterra rough volatility models," Papers 2105.04511, arXiv.org.
  303. Jamie Alcock & Godfrey Smith, 2017. "Non-parametric American option valuation using Cressie–Read divergences," Australian Journal of Management, Australian School of Business, vol. 42(2), pages 252-275, May.
  304. Xuwei Yang & Anastasis Kratsios & Florian Krach & Matheus Grasselli & Aurelien Lucchi, 2023. "Regret-Optimal Federated Transfer Learning for Kernel Regression with Applications in American Option Pricing," Papers 2309.04557, arXiv.org, revised Oct 2024.
  305. Chan, Tat Lung (Ron), 2020. "Hedging and pricing early-exercise options with complex fourier series expansion," The North American Journal of Economics and Finance, Elsevier, vol. 54(C).
  306. Damir Filipovi'c & Kathrin Glau & Yuji Nakatsukasa & Francesco Statti, 2019. "Weighted Monte Carlo with least squares and randomized extended Kaczmarz for option pricing," Papers 1910.07241, arXiv.org.
  307. Farshid Mehrdoust & Idin Noorani, 2019. "Pricing S&P500 barrier put option of American type under Heston–CIR model with regime-switching," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 6(02), pages 1-17, June.
  308. Mark Broadie & Yiping Du & Ciamac C. Moallemi, 2015. "Risk Estimation via Regression," Operations Research, INFORMS, vol. 63(5), pages 1077-1097, October.
  309. Bueno-Guerrero, Alberto & Moreno, Manuel & Navas, Javier F., 2015. "Stochastic string models with continuous semimartingales," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 433(C), pages 229-246.
  310. Zhang, M.M. & Wang, Qunwei & Zhou, Dequn & Ding, H., 2019. "Evaluating uncertain investment decisions in low-carbon transition toward renewable energy," Applied Energy, Elsevier, vol. 240(C), pages 1049-1060.
  311. Lambrecht, Bart M., 2017. "Real options in finance," Journal of Banking & Finance, Elsevier, vol. 81(C), pages 166-171.
  312. Vasile BRÄ‚TIAN, 2018. "Evaluation of Options using the Monte Carlo Method and the Entropy of Information," Expert Journal of Economics, Sprint Investify, vol. 6(2), pages 35-43.
  313. David Finpricing Lee, 2022. "Generic Cancellable Derivative Model," Working Papers hal-03749503, HAL.
  314. Claudio Albanese & Stéphane Crépey & Rodney Hoskinson & Bouazza Saadeddine, 2021. "XVA analysis from the balance sheet," Quantitative Finance, Taylor & Francis Journals, vol. 21(1), pages 99-123, January.
  315. Jing Ai & Patrick L. Brockett & Tianyang Wang, 2017. "Optimal Enterprise Risk Management and Decision Making With Shared and Dependent Risks," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 84(4), pages 1127-1169, December.
  316. Díaz, Guzmán & Coto, José & Gómez-Aleixandre, Javier, 2019. "Optimal operation value of combined wind power and energy storage in multi-stage electricity markets," Applied Energy, Elsevier, vol. 235(C), pages 1153-1168.
  317. Nicholas Davey & Nicolas Langrené & Wen Chen & Jonathan R. Rhodes & Simon Dunstall & Saman Halgamuge, 2023. "Designing higher value roads to preserve species at risk by optimally controlling traffic flow," Annals of Operations Research, Springer, vol. 320(2), pages 663-693, January.
  318. Noshchenko, Olga & Hagspiel, Verena, 2024. "Environmental and economic multi-objective real options analysis: Electrification choices for field development investment planning," Energy, Elsevier, vol. 295(C).
  319. Bünyamin Erkan & Jean-Luc Prigent, 2020. "About Long-Term Cross-Currency Bermuda Swaption Pricing," Computational Economics, Springer;Society for Computational Economics, vol. 56(1), pages 239-262, June.
  320. Anne Mackay & Marie-Claude Vachon, 2023. "On an Optimal Stopping Problem with a Discontinuous Reward," Papers 2311.03538, arXiv.org, revised Nov 2023.
  321. Armstrong, Margaret & Langrené, Nicolas & Petter, Renato & Chen, Wen & Petter, Carlos, 2019. "Accounting for tailings dam failures in the valuation of mining projects," Resources Policy, Elsevier, vol. 63(C), pages 1-1.
  322. Michail Chronopoulos & Verena Hagspiel & Stein-Erik Fleten, 2017. "Stepwise investment and capacity sizing under uncertainty," OR Spectrum: Quantitative Approaches in Management, Springer;Gesellschaft für Operations Research e.V., vol. 39(2), pages 447-472, March.
  323. Oldouz Samimi & Farshid Mehrdoust, 2018. "Pricing multi-asset American option under Heston stochastic volatility model," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 5(03), pages 1-16, September.
  324. Julien Vedani & Laurent Devineau, 2012. "Solvency assessment within the ORSA framework: issues and quantitative methodologies," Working Papers hal-00744351, HAL.
  325. Xu Guo & Yutian Li, 2016. "Valuation of American options under the CGMY model," Quantitative Finance, Taylor & Francis Journals, vol. 16(10), pages 1529-1539, October.
  326. Lukas Gonon, 2022. "Deep neural network expressivity for optimal stopping problems," Papers 2210.10443, arXiv.org.
  327. Lingfei Li & Vadim Linetsky, 2013. "Optimal Stopping and Early Exercise: An Eigenfunction Expansion Approach," Operations Research, INFORMS, vol. 61(3), pages 625-643, June.
  328. Maya Briani & Lucia Caramellino & Antonino Zanette, 2017. "A hybrid approach for the implementation of the Heston model," Post-Print hal-00916440, HAL.
  329. Chockalingam, Arun & Feng, Haolin, 2015. "The implication of missing the optimal-exercise time of an American option," European Journal of Operational Research, Elsevier, vol. 243(3), pages 883-896.
  330. Hatem Ben-Ameur & Michèle Breton & Juan-Manuel Martinez, 2009. "Dynamic Programming Approach for Valuing Options in the GARCH Model," Management Science, INFORMS, vol. 55(2), pages 252-266, February.
  331. Ma, Jingtang & Yang, Wensheng & Cui, Zhenyu, 2021. "CTMC integral equation method for American options under stochastic local volatility models," Journal of Economic Dynamics and Control, Elsevier, vol. 128(C).
  332. Andrew Green & Chris Kenyon, 2016. "XVA at the Exercise Boundary," Papers 1610.00256, arXiv.org.
  333. San-Lin Chung & Mark Shackleton, 2005. "On the use and improvement of Hull and White's control variate technique," Applied Financial Economics, Taylor & Francis Journals, vol. 15(16), pages 1171-1179.
  334. Tsvetelin S. Zaevski, 2024. "Quadratic American Strangle Options in Light of Two-Sided Optimal Stopping Problems," Mathematics, MDPI, vol. 12(10), pages 1-27, May.
  335. Joe Cheung & Charles Corrado & J. B. Chay & Do-Sub Jung, 2006. "Hurdle Rate: Executive Stock Options," Australian Journal of Management, Australian School of Business, vol. 31(1), pages 29-40, June.
  336. Raoul Pietersz & Marcel Regenmortel, 2006. "Generic market models," Finance and Stochastics, Springer, vol. 10(4), pages 507-528, December.
    • Raoul Pietersz & Marcel van Regenmortel, 2005. "Generic Market Models," Finance 0502009, University Library of Munich, Germany.
    • Pietersz, R. & van Regenmortel, M., 2005. "Generic Market Models," ERIM Report Series Research in Management ERS-2005-010-F&A, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
  337. Jeon, Junkee & Kim, Geonwoo, 2022. "Pricing European continuous-installment currency options with mean-reversion," The North American Journal of Economics and Finance, Elsevier, vol. 59(C).
  338. Ruimeng Hu, 2019. "Deep Learning for Ranking Response Surfaces with Applications to Optimal Stopping Problems," Papers 1901.03478, arXiv.org, revised Mar 2020.
  339. Rong Fan & Joseph Haubrich & Peter Ritchken & James Thomson, 2003. "Getting the Most Out of a Mandatory Subordinated Debt Requirement," Journal of Financial Services Research, Springer;Western Finance Association, vol. 24(2), pages 149-179, October.
  340. Edgardo Brigatti & Felipe Macias & Max O. Souza & Jorge P. Zubelli, 2015. "A Hedged Monte Carlo Approach to Real Option Pricing," Papers 1509.03577, arXiv.org.
  341. Andrianos E. Tsekrekos & Mark B. Shackleton & Rafał Wojakowski, 2012. "Evaluating Natural Resource Investments under Different Model Dynamics: Managerial Insights," European Financial Management, European Financial Management Association, vol. 18(4), pages 543-575, September.
  342. Jensen, Malene Shin & Svenstrup, Mikkel, 2002. "Efficient Control Variates and Strategies for Bermudan Swaptions in a Libor Market Model," Finance Working Papers 02-23, University of Aarhus, Aarhus School of Business, Department of Business Studies.
  343. Christian Bender & Christian Gaertner & Nikolaus Schweizer, 2016. "Pathwise Iteration for Backward SDEs," Papers 1605.07500, arXiv.org, revised Jun 2016.
  344. Roberto Baviera & Lorenzo Giada, 2013. "A perturbative approach to Bermudan options pricing with applications," Quantitative Finance, Taylor & Francis Journals, vol. 13(2), pages 255-263, January.
  345. Jérôme Lelong, 2020. "Pricing path-dependent Bermudan options using Wiener chaos expansion: an embarrassingly parallel approach," Post-Print hal-01983115, HAL.
  346. Fabozzi, Frank J. & Paletta, Tommaso & Tunaru, Radu, 2017. "An improved least squares Monte Carlo valuation method based on heteroscedasticity," European Journal of Operational Research, Elsevier, vol. 263(2), pages 698-706.
  347. Qian Wang & D. Marc Kilgour & Keith W. Hipel, 2015. "Numerical Methods to Calculate Fuzzy Boundaries for Brownfield Redevelopment Negotiations," Group Decision and Negotiation, Springer, vol. 24(3), pages 515-536, May.
  348. Andrey Kulikov & Naief Alabed Alkader & Galina Panaedova & Aleksandr Ogorodnikov & Evgenii Rebeka, 2023. "Modelling Optimal Capital Structure in Gas and Oil Sector by Applying Simulation Theory and Programming Language of Python (Qatar Gas Transport Company)," Energies, MDPI, vol. 16(10), pages 1-15, May.
  349. In oon Kim & Bong-Gyu Jang & Kyeong Tae Kim, 2013. "A simple iterative method for the valuation of American options," Quantitative Finance, Taylor & Francis Journals, vol. 13(6), pages 885-895, May.
  350. Duy Nguyen, 2018. "A hybrid Markov chain-tree valuation framework for stochastic volatility jump diffusion models," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 5(04), pages 1-30, December.
  351. 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.
  352. Sergei Levendorskii, 2004. "The American put and European options near expiry, under Levy processes," Papers cond-mat/0404103, arXiv.org.
  353. Andrew Lesniewski & Anja Richter, 2016. "Managing counterparty credit risk via BSDEs," Papers 1608.03237, arXiv.org, revised Aug 2016.
  354. Ángel León & Diego Piñeiro, 2004. "Valuation of a Biotech Company: A Real Options Approach," Working Papers wp2004_0420, CEMFI.
  355. Eduardo Schwartz, 2013. "The Real Options Approach to Valuation: Challenges and Opportunities," Latin American Journal of Economics-formerly Cuadernos de Economía, Instituto de Economía. Pontificia Universidad Católica de Chile., vol. 50(2), pages 163-177, November.
  356. Christophe Barrera-Esteve & Florent Bergeret & Charles Dossal & Emmanuel Gobet & Asma Meziou & Rémi Munos & Damien Reboul-Salze, 2006. "Numerical Methods for the Pricing of Swing Options: A Stochastic Control Approach," Methodology and Computing in Applied Probability, Springer, vol. 8(4), pages 517-540, December.
  357. Gan, Guojun & Lin, X. Sheldon, 2015. "Valuation of large variable annuity portfolios under nested simulation: A functional data approach," Insurance: Mathematics and Economics, Elsevier, vol. 62(C), pages 138-150.
  358. Christian Bayer & Ra'ul Tempone & Soren Wolfers, 2018. "Pricing American Options by Exercise Rate Optimization," Papers 1809.07300, arXiv.org, revised Aug 2019.
  359. Lokman Abbas-Turki & Bernard Lapeyre, 2011. "American Options Based on Malliavin Calculus and Nonparametric Variance Reduction Methods," Papers 1104.5131, arXiv.org, revised Apr 2011.
  360. Michael B. Gordy & Sandeep Juneja, 2010. "Nested Simulation in Portfolio Risk Measurement," Management Science, INFORMS, vol. 56(10), pages 1833-1848, October.
  361. Pringles, Rolando & Olsina, Fernando & Garcés, Francisco, 2014. "Designing regulatory frameworks for merchant transmission investments by real options analysis," Energy Policy, Elsevier, vol. 67(C), pages 272-280.
  362. Max F. Schöne & Stefan Spinler, 2017. "A four-factor stochastic volatility model of commodity prices," Review of Derivatives Research, Springer, vol. 20(2), pages 135-165, July.
  363. Giuseppe Benedetti, 2017. "On The Calculation Of Risk Measures Using Least-Squares Monte Carlo," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 20(03), pages 1-14, May.
  364. Jian-Huang She & Dan Grecu, 2018. "Neural Network for CVA: Learning Future Values," Papers 1811.08726, arXiv.org.
  365. Magnus Perninge, 2018. "A limited-feedback approximation scheme for optimal switching problems with execution delays," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 87(3), pages 347-382, June.
  366. Cosma, Antonio & Galluccio, Stefano & Pederzoli, Paola & Scaillet, Olivier, 2020. "Early Exercise Decision in American Options with Dividends, Stochastic Volatility, and Jumps," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 55(1), pages 331-356, February.
  367. Damir Filipovi'c & Martin Larsson & Sergio Pulido, 2017. "Markov cubature rules for polynomial processes," Papers 1707.06849, arXiv.org, revised Jun 2019.
  368. Chung-Li Tseng & Daniel Wei-Chung Miao & San-Lin Chung & Pai-Ta Shih, 2021. "How Much Do Negative Probabilities Matter in Option Pricing?: A Case of a Lattice-Based Approach for Stochastic Volatility Models," JRFM, MDPI, vol. 14(6), pages 1-32, May.
  369. A. Max Reppen & H. Mete Soner & Valentin Tissot-Daguette, 2022. "Neural Optimal Stopping Boundary," Papers 2205.04595, arXiv.org, revised May 2023.
  370. Andrejs Čirjevskis, 2021. "Exploring the Link of Real Options Theory with Dynamic Capabilities Framework in Open Innovation-Type Merger and Acquisition Deals," JRFM, MDPI, vol. 14(4), pages 1-16, April.
  371. Ludovic Gouden`ege & Andrea Molent & Antonino Zanette, 2016. "Pricing and Hedging GMWB in the Heston and in the Black-Scholes with Stochastic Interest Rate Models," Papers 1602.09078, arXiv.org, revised Mar 2016.
  372. Yuriy Krepkiy & Asif Lakhany & Amber Zhang, 2021. "Efficient Least Squares Monte-Carlo Technique for PFE/EE Calculations," Papers 2105.07061, arXiv.org.
  373. 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.
  374. Hoe, SingRu & David Diltz, J., 2012. "A real options approach to valuing and negotiating licensing agreements," The Quarterly Review of Economics and Finance, Elsevier, vol. 52(3), pages 322-332.
  375. Liu, Xiaoran & Ronn, Ehud I., 2020. "Using the binomial model for the valuation of real options in computing optimal subsidies for Chinese renewable energy investments," Energy Economics, Elsevier, vol. 87(C).
  376. Àlex Alonso-Travesset & Diederik Coppitters & Helena Martín & Jordi de la Hoz, 2023. "Economic and Regulatory Uncertainty in Renewable Energy System Design: A Review," Energies, MDPI, vol. 16(2), pages 1-30, January.
  377. 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.
  378. Song-Ping Zhu & Nhat-Tan Le & Wen-Ting Chen & Xiaoping Lu, 2015. "Pricing Parisian down-and-in options," Papers 1511.01564, arXiv.org.
  379. Eickholt, Mathias & Entrop, Oliver & Wilkens, Marco, 2014. "What makes individual investors exercise early? Empirical evidence from the fixed-income market," Passauer Diskussionspapiere, Betriebswirtschaftliche Reihe 15, University of Passau, Faculty of Business and Economics.
  380. Zineb El Filali Ech-Chafiq & Pierre Henry Labordère & Jérôme Lelong, 2023. "Pricing Bermudan options using regression trees/random forests," Post-Print hal-03436046, HAL.
  381. Ioannis Exarchos & Evangelos Theodorou & Panagiotis Tsiotras, 2019. "Stochastic Differential Games: A Sampling Approach via FBSDEs," Dynamic Games and Applications, Springer, vol. 9(2), pages 486-505, June.
  382. Gilles Pagès & Olivier Pironneau & Guillaume Sall, 2016. "The Parareal Algorithm for American Options [La méthode pararéelle pour les options américaines]," Post-Print hal-01320331, HAL.
  383. Panagiotis Christodoulou & Nils Detering & Thilo Meyer-Brandis, 2018. "Local Risk-Minimization With Multiple Assets Under Illiquidity With Applications In Energy Markets," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 21(04), pages 1-44, June.
  384. Ikefuji, Masako & Laeven, Roger J.A. & Magnus, Jan R. & Muris, Chris, 2020. "Expected utility and catastrophic risk in a stochastic economy–climate model," Journal of Econometrics, Elsevier, vol. 214(1), pages 110-129.
  385. Masahiro Nishiba, 2013. "Pricing Exotic Options and American Options: A Multidimensional Asymptotic Expansion Approach," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 20(2), pages 147-182, May.
  386. Magnus Perninge & Lennart Söder, 2014. "Irreversible investments with delayed reaction: an application to generation re-dispatch in power system operation," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 79(2), pages 195-224, April.
  387. Werner Hürlimann, 2012. "Valuation of fixed and variable rate mortgages: binomial tree versus analytical approximations," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 35(2), pages 171-202, November.
  388. Benjamin Jourdain & Mohamed Sbai, 2012. "Coupling index and stocks," Quantitative Finance, Taylor & Francis Journals, vol. 12(5), pages 805-818, March.
  389. Alejandro Toriello & George Nemhauser & Martin Savelsbergh, 2010. "Decomposing inventory routing problems with approximate value functions," Naval Research Logistics (NRL), John Wiley & Sons, vol. 57(8), pages 718-727, December.
  390. Thomas J. Sargent & John Stachurski, 2024. "Dynamic Programming: Finite States," Papers 2401.10473, arXiv.org.
  391. Anne-Sophie Krah & Zoran Nikolić & Ralf Korn, 2018. "A Least-Squares Monte Carlo Framework in Proxy Modeling of Life Insurance Companies," Risks, MDPI, vol. 6(2), pages 1-26, June.
  392. Xiao Lin, 2016. "The Zero-Coupon Rate Model for Derivatives Pricing," Papers 1606.01343, arXiv.org, revised Feb 2022.
  393. David A. Goldberg & Yilun Chen, 2018. "Polynomial time algorithm for optimal stopping with fixed accuracy," Papers 1807.02227, arXiv.org, revised May 2024.
  394. Carmen Schiel & Simon Glöser-Chahoud & Frank Schultmann, 2019. "A real option application for emission control measures," Journal of Business Economics, Springer, vol. 89(3), pages 291-325, April.
  395. Laude, Audrey & Jonen, Christian, 2013. "Biomass and CCS: The influence of technical change," Energy Policy, Elsevier, vol. 60(C), pages 916-924.
  396. Roberto Daluiso & Emanuele Nastasi & Andrea Pallavicini & Stefano Polo, 2021. "Reinforcement learning for options on target volatility funds," Papers 2112.01841, arXiv.org.
  397. Zhang, Mingming & Zhou, Dequn & Zhou, Peng, 2014. "A real option model for renewable energy policy evaluation with application to solar PV power generation in China," Renewable and Sustainable Energy Reviews, Elsevier, vol. 40(C), pages 944-955.
  398. Li, Chenxu & Ye, Yongxin, 2019. "Pricing and Exercising American Options: an Asymptotic Expansion Approach," Journal of Economic Dynamics and Control, Elsevier, vol. 107(C), pages 1-1.
  399. Anastasia Borovykh & Andrea Pascucci & Cornelis W. Oosterlee, 2019. "Efficient Computation of Various Valuation Adjustments Under Local L\'evy Models," Papers 1905.01706, arXiv.org.
  400. Cornelis S. L. de Graaf & Drona Kandhai & Christoph Reisinger, 2016. "Efficient exposure computation by risk factor decomposition," Papers 1608.01197, arXiv.org, revised Feb 2018.
  401. Zhang, M.M. & Zhou, D.Q. & Zhou, P. & Chen, H.T., 2017. "Optimal design of subsidy to stimulate renewable energy investments: The case of China," Renewable and Sustainable Energy Reviews, Elsevier, vol. 71(C), pages 873-883.
  402. Boda Kang & Christina Nikitopoulos Sklibosios & Erik Schlogl & Blessing Taruvinga, 2019. "The Impact of Jumps on American Option Pricing: The S&P 100 Options Case," Research Paper Series 397, Quantitative Finance Research Centre, University of Technology, Sydney.
  403. Lin Zhao & Sweder van Wijnbergen, 2017. "Decision-making in incomplete markets with ambiguity—a case study of a gas field acquisition," Quantitative Finance, Taylor & Francis Journals, vol. 17(11), pages 1759-1782, November.
  404. Leif Andersen & Mark Broadie, 2004. "Primal-Dual Simulation Algorithm for Pricing Multidimensional American Options," Management Science, INFORMS, vol. 50(9), pages 1222-1234, September.
  405. Maya Briani & Lucia Caramellino & Giulia Terenzi & Antonino Zanette, 2019. "Numerical Stability Of A Hybrid Method For Pricing Options," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 22(07), pages 1-46, November.
  406. Jules H. van Binsbergen & Michael W. Brandt, 2007. "Optimal Asset Allocation in Asset Liability Management," NBER Working Papers 12970, National Bureau of Economic Research, Inc.
  407. Liu, Haomin & Zhang, Zaixu & Zhang, Tao, 2022. "Shale gas investment decision-making: Green and efficient development under market, technology and environment uncertainties," Applied Energy, Elsevier, vol. 306(PA).
  408. Maximilian Mair & Jan Maruhn, 2013. "On the primal-dual algorithm for callable Bermudan options," Review of Derivatives Research, Springer, vol. 16(1), pages 79-110, April.
  409. Gamba, Andrea & Tesser, Matteo, 2009. "Structural estimation of real options models," Journal of Economic Dynamics and Control, Elsevier, vol. 33(4), pages 798-816, April.
  410. 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.
  411. Smith, James L., 2014. "A parsimonious model of tax avoidance and distortions in petroleum exploration and development," Energy Economics, Elsevier, vol. 43(C), pages 140-157.
  412. Mr. Jorge A Chan-Lau & Mr. Andre O Santos, 2010. "Public Debt Sustainability and Management in a Compound Option Framework," IMF Working Papers 2010/002, International Monetary Fund.
  413. Volk-Makarewicz, Warren & Borovkova, Svetlana & Heidergott, Bernd, 2022. "Assessing the impact of jumps in an option pricing model: A gradient estimation approach," European Journal of Operational Research, Elsevier, vol. 298(2), pages 740-751.
  414. S'ebastien Geeraert & Charles-Albert Lehalle & Barak Pearlmutter & Olivier Pironneau & Adil Reghai, 2017. "Mini-symposium on automatic differentiation and its applications in the financial industry," Papers 1703.02311, arXiv.org, revised Jun 2017.
  415. Nicolas Essis-Breton & Patrice Gaillardetz, 2020. "Fast Lower and Upper Estimates for the Price of Constrained Multiple Exercise American Options by Single Pass Lookahead Search and Nearest-Neighbor Martingale," Papers 2002.11258, arXiv.org.
  416. Lotfi Boudabsa & Damir Filipovi'c, 2022. "Ensemble learning for portfolio valuation and risk management," Papers 2204.05926, arXiv.org.
  417. Luis Mª Abadie & José M. Chamorro, 2017. "Valuation of Real Options in Crude Oil Production," Energies, MDPI, vol. 10(8), pages 1-21, August.
  418. Raj G. Patel & Tomas Dominguez & Mohammad Dib & Samuel Palmer & Andrea Cadarso & Fernando De Lope Contreras & Abdelkader Ratnani & Francisco Gomez Casanova & Senaida Hern'andez-Santana & 'Alvaro D'iaz, 2023. "Application of Tensor Neural Networks to Pricing Bermudan Swaptions," Papers 2304.09750, arXiv.org, revised Mar 2024.
  419. Nicola Cufaro Petroni & Piergiacomo Sabino, 2019. "Fast Pricing of Energy Derivatives with Mean-reverting Jump-diffusion Processes," Papers 1908.03137, arXiv.org, revised Mar 2020.
  420. Martin B. Haugh & Leonid Kogan, 2004. "Pricing American Options: A Duality Approach," Operations Research, INFORMS, vol. 52(2), pages 258-270, April.
  421. 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.
  422. J. Bonnans & Zhihao Cen & Thibault Christel, 2012. "Energy contracts management by stochastic programming techniques," Annals of Operations Research, Springer, vol. 200(1), pages 199-222, November.
  423. Andrejs Čirjevskis, 2021. "Value Maximizing Decisions in the Real Estate Market: Real Options Valuation Approach," JRFM, MDPI, vol. 14(6), pages 1-19, June.
  424. Juri Hinz & Tanya Tarnopolskaya & Jeremy Yee, 2020. "Efficient algorithms of pathwise dynamic programming for decision optimization in mining operations," Annals of Operations Research, Springer, vol. 286(1), pages 583-615, March.
  425. Djerry C. Tandja M. & Gabriel J. Power & Josée Bastien, 2018. "Real Option Valuation in a Gollier/Weitzman World: The Effect of Long-Run Discount Rate Uncertainty," The Energy Journal, , vol. 39(5), pages 21-54, September.
  426. Abadie, Luis M. & Goicoechea, Nestor, 2022. "Optimal management of a mega pumped hydro storage system under stochastic hourly electricity prices in the Iberian Peninsula," Energy, Elsevier, vol. 252(C).
  427. Giovanni Villani, 2022. "A Neural Network Approach to Value R&D Compound American Exchange Option," Computational Economics, Springer;Society for Computational Economics, vol. 60(1), pages 305-324, June.
  428. Andrew Green & Chris Kenyon, 2014. "MVA: Initial Margin Valuation Adjustment by Replication and Regression," Papers 1405.0508, arXiv.org, revised Jan 2015.
  429. Martin Eling, 2013. "Recent Research Developments Affecting Nonlife Insurance—The CAS Risk Premium Project 2011 Update," Risk Management and Insurance Review, American Risk and Insurance Association, vol. 16(1), pages 35-46, March.
  430. de Jong, C.M. & Huisman, R., 2002. "Option Formulas for Mean-Reverting Power Prices with Spikes," ERIM Report Series Research in Management ERS-2002-96-F&A, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
  431. Dariusz Gatarek & Juliusz Jabłecki, 2021. "Between Scylla and Charybdis: The Bermudan Swaptions Pricing Odyssey," Mathematics, MDPI, vol. 9(2), pages 1-32, January.
  432. Q. Feng & C. W. Oosterlee, 2014. "Monte Carlo Calculation of Exposure Profiles and Greeks for Bermudan and Barrier Options under the Heston Hull-White Model," Papers 1412.3623, arXiv.org.
  433. Fontana, Claudio & Rotondi, Francesco, 2023. "Valuation of general GMWB annuities in a low interest rate environment," Insurance: Mathematics and Economics, Elsevier, vol. 112(C), pages 142-167.
  434. Eduardo Sandoval & Paula Urrutia, 2014. "Zero-Cost Collar Strategy For Chilean Exporters: Black-Scholes Valuation Vs Monte Carlo Simulations, Estrategia Collar Costo Cero Para Exportadores Chilenos. Valuacion De Black-Scholes Vs Simulaciones," Revista Internacional Administracion & Finanzas, The Institute for Business and Finance Research, vol. 7(5), pages 25-40.
  435. Matthias Berger & Christian Matt & Jochen Gönsch & Thomas Hess, 2019. "Is the Time Ripe? How the Value of Waiting and Incentives Affect Users’ Switching Behaviors for Smart Home Devices," Schmalenbach Business Review, Springer;Schmalenbach-Gesellschaft, vol. 71(1), pages 91-123, February.
  436. Callegaro, Giorgia & Gnoatto, Alessandro & Grasselli, Martino, 2023. "A fully quantization-based scheme for FBSDEs," Applied Mathematics and Computation, Elsevier, vol. 441(C).
  437. Garcia, Diego, 2003. "Convergence and Biases of Monte Carlo estimates of American option prices using a parametric exercise rule," Journal of Economic Dynamics and Control, Elsevier, vol. 27(10), pages 1855-1879, August.
  438. Fujiwara, Hajime & Kijima, Masaaki, 2007. "Pricing of path-dependent American options by Monte Carlo simulation," Journal of Economic Dynamics and Control, Elsevier, vol. 31(11), pages 3478-3502, November.
  439. William Lefebvre & Grégoire Loeper & Huyên Pham, 2023. "Differential learning methods for solving fully nonlinear PDEs," Digital Finance, Springer, vol. 5(1), pages 183-229, March.
  440. Finjord, Fredrik & Hagspiel, Verena & Lavrutich, Maria & Tangen, Marius, 2018. "The impact of Norwegian-Swedish green certificate scheme on investment behavior: A wind energy case study," Energy Policy, Elsevier, vol. 123(C), pages 373-389.
  441. Didier Nibbering & Coos van Buuren & Wei Wei, 2021. "Real Options Valuation of Wind Energy Based on the Empirical Production Uncertainty," Monash Econometrics and Business Statistics Working Papers 19/21, Monash University, Department of Econometrics and Business Statistics.
  442. Henrik Jönsson & Wim Schoutens, 2008. "Single name credit default swaptions meet single sided jump models," Review of Derivatives Research, Springer, vol. 11(1), pages 153-169, March.
  443. Sebastian Becker & Patrick Cheridito & Arnulf Jentzen, 2020. "Pricing and Hedging American-Style Options with Deep Learning," JRFM, MDPI, vol. 13(7), pages 1-12, July.
  444. Yi Yang & Jianan Wang & Youhua Chen & Zhiyuan Chen & Yanchu Liu, 2020. "Optimal procurement strategies for contractual assembly systems with fluctuating procurement price," Annals of Operations Research, Springer, vol. 291(1), pages 1027-1059, August.
  445. W. Ackooij & X. Warin, 2020. "On conditional cuts for stochastic dual dynamic programming," EURO Journal on Computational Optimization, Springer;EURO - The Association of European Operational Research Societies, vol. 8(2), pages 173-199, June.
  446. Delong, Łukasz, 2014. "Pricing and hedging of variable annuities with state-dependent fees," Insurance: Mathematics and Economics, Elsevier, vol. 58(C), pages 24-33.
  447. Hsu, Jason C. & Schwartz, Eduardo S., 2008. "A model of R&D valuation and the design of research incentives," Insurance: Mathematics and Economics, Elsevier, vol. 43(3), pages 350-367, December.
  448. Tebaldi, Claudio, 2005. "Hedging using simulation: a least squares approach," Journal of Economic Dynamics and Control, Elsevier, vol. 29(8), pages 1287-1312, August.
  449. Ako Doffou, 2015. "An Improved Valuation Model for Technology Companies," IJFS, MDPI, vol. 3(2), pages 1-15, June.
  450. Hongjun Ha & Daniel Bauer, 2022. "A least-squares Monte Carlo approach to the estimation of enterprise risk," Finance and Stochastics, Springer, vol. 26(3), pages 417-459, July.
  451. Kohler Michael & Krzyzak Adam & Walk Harro, 2009. "Upper bounds for Bermudan options on Markovian data using nonparametric regression and a reduced number of nested Monte Carlo steps," Statistics & Risk Modeling, De Gruyter, vol. 26(4), pages 275-288, July.
  452. Duarte, Victor & Duarte, Diogo & Fonseca, Julia & Montecinos, Alexis, 2020. "Benchmarking machine-learning software and hardware for quantitative economics," Journal of Economic Dynamics and Control, Elsevier, vol. 111(C).
  453. Lokman Abbas-Turki & St'ephane Cr'epey & Bouazza Saadeddine, 2022. "Pathwise CVA Regressions With Oversimulated Defaults," Papers 2211.17005, arXiv.org.
  454. Nicholas Andrew Yap Swee Guan, 2015. "Regression and Convex Switching System Methods for Stochastic Control Problems with Applications to Multiple-Exercise Options," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 26, July-Dece.
  455. Lindset, Snorre & Lund, Arne-Christian, 2007. "A Monte Carlo approach for the American put under stochastic interest rates," Journal of Economic Dynamics and Control, Elsevier, vol. 31(4), pages 1081-1105, April.
  456. Xiaoqun Wang, 2009. "Dimension Reduction Techniques in Quasi-Monte Carlo Methods for Option Pricing," INFORMS Journal on Computing, INFORMS, vol. 21(3), pages 488-504, August.
  457. Ledoit, Olivier & Santa-Clara, Pedro & Yan, Shu, 2002. "Relative Pricing of Options with Stochastic Volatility," University of California at Los Angeles, Anderson Graduate School of Management qt7jp8f42t, Anderson Graduate School of Management, UCLA.
  458. Oleksandr Zhylyevskyy, 2010. "A fast Fourier transform technique for pricing American options under stochastic volatility," Review of Derivatives Research, Springer, vol. 13(1), pages 1-24, April.
  459. 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.
  460. Bender Christian & Kolodko Anastasia & Schoenmakers John, 2006. "Policy iteration for american options: overview," Monte Carlo Methods and Applications, De Gruyter, vol. 12(5), pages 347-362, November.
  461. Weiping Li & Su Chen, 2018. "The Early Exercise Premium In American Options By Using Nonparametric Regressions," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 21(07), pages 1-29, November.
  462. Zhang, Mingming & Liu, Liyun & Wang, Qunwei & Zhou, Dequn, 2020. "Valuing investment decisions of renewable energy projects considering changing volatility," Energy Economics, Elsevier, vol. 92(C).
  463. Wang, Chuan-Ju & Kao, Ming-Yang, 2016. "Optimal search for parameters in Monte Carlo simulation for derivative pricing," European Journal of Operational Research, Elsevier, vol. 249(2), pages 683-690.
  464. Ma, Jin & Zhang, Jianfeng, 2005. "Representations and regularities for solutions to BSDEs with reflections," Stochastic Processes and their Applications, Elsevier, vol. 115(4), pages 539-569, April.
  465. S. Alonso & V. Azofra & G. De La Fuente, 2014. "What do you do when the binomial cannot value real options? The LSM model," Cogent Economics & Finance, Taylor & Francis Journals, vol. 2(1), pages 1-17, December.
  466. Yangyang Zhuang & Pan Tang, 2023. "Pricing of American Parisian option as executive option based on the least‐squares Monte Carlo approach," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(10), pages 1469-1496, October.
  467. François-Michel Boire & R. Mark Reesor & Lars Stentoft, 2021. "Efficient Variance Reduction for American Call Options Using Symmetry Arguments," JRFM, MDPI, vol. 14(11), pages 1-21, October.
  468. Cortazar, Gonzalo & Naranjo, Lorenzo & Sainz, Felipe, 2021. "Optimal decision policy for real options under general Markovian dynamics," European Journal of Operational Research, Elsevier, vol. 288(2), pages 634-647.
  469. Díaz, Guzmán & Moreno, Blanca, 2016. "Valuation under uncertain energy prices and load demands of micro-CHP plants supplemented by optimally switched thermal energy storage," Applied Energy, Elsevier, vol. 177(C), pages 553-569.
  470. Yongmin Zhang & Shusheng Ding & Meryem Duygun, 2019. "Derivatives pricing with liquidity risk," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(11), pages 1471-1485, November.
  471. Duffie, Darrell, 2003. "Intertemporal asset pricing theory," Handbook of the Economics of Finance, in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, edition 1, volume 1, chapter 11, pages 639-742, Elsevier.
  472. Chinonso Nwankwo & Nneka Umeorah & Tony Ware & Weizhong Dai, 2022. "Deep learning and American options via free boundary framework," Papers 2211.11803, arXiv.org, revised Dec 2022.
  473. Xavier Warin, 2017. "Variance optimal hedging with application to Electricity markets," Papers 1711.03733, arXiv.org, revised Aug 2018.
  474. Fort Gersende & Gobet Emmanuel & Moulines Eric, 2017. "MCMC design-based non-parametric regression for rare event. Application to nested risk computations," Monte Carlo Methods and Applications, De Gruyter, vol. 23(1), pages 21-42, March.
  475. Cartea, Álvaro & Williams, Thomas, 2008. "UK gas markets: The market price of risk and applications to multiple interruptible supply contracts," Energy Economics, Elsevier, vol. 30(3), pages 829-846, May.
  476. Pflug, Georg C. & Broussev, Nikola, 2009. "Electricity swing options: Behavioral models and pricing," European Journal of Operational Research, Elsevier, vol. 197(3), pages 1041-1050, September.
  477. Chia-Chien Chang & Wei-Yi Huang & So-De Shyu, 2012. "Pricing Mortgage Insurance with Asymmetric Jump Risk and Default Risk: Evidence in the U.S. Housing Market," The Journal of Real Estate Finance and Economics, Springer, vol. 45(4), pages 846-868, November.
  478. Marat Kramin & Timur Kramin & Stephen Young & Venkat Dharan, 2005. "A Simple Induction Approach and an Efficient Trinomial Lattice for Multi-State Variable Interest Rate Derivatives Models," Review of Quantitative Finance and Accounting, Springer, vol. 24(2), pages 199-226, January.
  479. Kathrin Glau & Mirco Mahlstedt & Christian Potz, 2018. "A new approach for American option pricing: The Dynamic Chebyshev method," Papers 1806.05579, arXiv.org.
  480. Christopher Beveridge & Mark Joshi, 2011. "Monte Carlo Bounds for Game Options Including Convertible Bonds," Management Science, INFORMS, vol. 57(5), pages 960-974, May.
  481. Young Shin Kim, 2021. "Sample Path Generation of the Stochastic Volatility CGMY Process and Its Application to Path-Dependent Option Pricing," JRFM, MDPI, vol. 14(2), pages 1-18, February.
  482. Farid AitSahlia & Manisha Goswami & Suchandan Guha, 2010. "American option pricing under stochastic volatility: an empirical evaluation," Computational Management Science, Springer, vol. 7(2), pages 189-206, April.
  483. Jacek Białek, 2014. "Proposition of Stochastic Postulates for Chain Indices," Statistics in Transition new series, Główny Urząd Statystyczny (Polska), vol. 15(4), pages 545-558, September.
  484. Mark Broadie & Weiwei Shen, 2016. "High-Dimensional Portfolio Optimization With Transaction Costs," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 19(04), pages 1-49, June.
  485. Patrick Cheridito & John Ery & Mario V. Wuthrich, 2021. "Assessing asset-liability risk with neural networks," Papers 2105.12432, arXiv.org.
  486. Longstaff, Francis A., 2002. "Optimal Recursive Refinancing and the Valuation of Mortgage-Backed Securities," University of California at Los Angeles, Anderson Graduate School of Management qt19k7479t, Anderson Graduate School of Management, UCLA.
  487. Ivan Guo & Gregoire Loeper, 2016. "Pricing Bounds for VIX Derivatives via Least Squares Monte Carlo," Papers 1611.00464, arXiv.org.
  488. Griselda Deelstra & Lech A. Grzelak & Felix L. Wolf, 2022. "Accelerated Computations of Sensitivities for xVA," Papers 2211.17026, arXiv.org, revised Jan 2024.
  489. Xiao, Tim, 2018. "The Valuation of Financial Derivatives Subject to Counterparty Risk and Credit Value Adjustment," FrenXiv ds7zj, Center for Open Science.
  490. White, Alan, 2018. "Pricing Credit Default Swap Subject to Counterparty Risk and Collateralization," MPRA Paper 85331, University Library of Munich, Germany.
  491. Andrea Gamba & Lenos Trigeorgis, 2007. "An Improved Binomial Lattice Method for Multi-Dimensional Options," Applied Mathematical Finance, Taylor & Francis Journals, vol. 14(5), pages 453-475.
  492. Attaoui, Sami & Cao, Wenbin & Six, Pierre, 2021. "Capital structure and the optimal payment methods in acquisitions," International Review of Law and Economics, Elsevier, vol. 66(C).
  493. Patrik Karlsson & Shashi Jain & Cornelis W. Oosterlee, 2016. "Fast and accurate exercise policies for Bermudan swaptions in the LIBOR market model," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 3(01), pages 1-22, March.
  494. Etienne Chevalier & Sergio Pulido & Elizabeth Zúñiga, 2021. "American options in the Volterra Heston model," Working Papers hal-03178306, HAL.
  495. Calypso Herrera & Florian Krach & Josef Teichmann, 2020. "Neural Jump Ordinary Differential Equations: Consistent Continuous-Time Prediction and Filtering," Papers 2006.04727, arXiv.org, revised Apr 2021.
  496. Farid AitSahlia & Manisha Goswami & Suchandan Guha, 2010. "American option pricing under stochastic volatility: an efficient numerical approach," Computational Management Science, Springer, vol. 7(2), pages 171-187, April.
  497. Chen, Damiaan H.J. & Beetsma, Roel M.W.J. & Broeders, Dirk W.G.A. & Pelsser, Antoon A.J., 2017. "Sustainability of participation in collective pension schemes: An option pricing approach," Insurance: Mathematics and Economics, Elsevier, vol. 74(C), pages 182-196.
  498. Daniel Wei-Chung Miao & Yung-Hsin Lee & Jr-Yan Wang, 2018. "Using forward Monte-Carlo simulation for the valuation of American barrier options," Annals of Operations Research, Springer, vol. 264(1), pages 339-366, May.
  499. Lihua Zhang & Weiguo Zhang & Weijun Xu & Xiang Shi, 2014. "A Modified Least-Squares Simulation Approach to Value American Barrier Options," Computational Economics, Springer;Society for Computational Economics, vol. 44(4), pages 489-506, December.
  500. Igor P. Rivera & Enzo D'Antonio di Vito & Andrés Fundia, 2011. "Valuación de Swaptions Bermuda basada en el modelo LIBOR adaptado a vectores frontera," Revista de Administración, Finanzas y Economía (Journal of Management, Finance and Economics), Tecnológico de Monterrey, Campus Ciudad de México, vol. 5(1), pages 77-92.
  501. Ben Hambly & Renyuan Xu & Huining Yang, 2021. "Recent Advances in Reinforcement Learning in Finance," Papers 2112.04553, arXiv.org, revised Feb 2023.
  502. Zhiyi Shen & Chengguo Weng, 2019. "A Backward Simulation Method for Stochastic Optimal Control Problems," Papers 1901.06715, arXiv.org.
  503. Tang, Kin-Boon & Zheng, Wen-Jie & Lin, Chao-Yang & Lin, Shih-Kuei, 2021. "Valuation of callable accreting interest rate swaps: Least squares Monte-Carlo method under Hull-White interest rate model," The North American Journal of Economics and Finance, Elsevier, vol. 56(C).
  504. Breton, Michèle & Marzouk, Oussama, 2018. "Evaluation of counterparty risk for derivatives with early-exercise features," Journal of Economic Dynamics and Control, Elsevier, vol. 88(C), pages 1-20.
  505. A. -S. Chen & P. -F. Shen, 2003. "Computational complexity analysis of least-squares Monte Carlo (LSM) for pricing US derivatives," Applied Economics Letters, Taylor & Francis Journals, vol. 10(4), pages 223-229.
  506. Damiano Brigo & Qing Liu & Andrea Pallavicini & David Sloth, 2014. "Nonlinear Valuation under Collateral, Credit Risk and Funding Costs: A Numerical Case Study Extending Black-Scholes," Papers 1404.7314, arXiv.org.
  507. Marzouk, Mohamed & Ali, Mohamed, 2018. "Mitigating risks in wastewater treatment plant PPPs using minimum revenue guarantee and real options," Utilities Policy, Elsevier, vol. 53(C), pages 121-133.
  508. Maciej Klimek & Marcin Pitera, 2014. "The least squares method for option pricing revisited," Papers 1404.7438, arXiv.org, revised Nov 2015.
  509. Roberta Pellegrino & Nicola Costantino & Danilo Tauro, 2020. "Advance Purchase Discounts for Supply Chain Finance System Coordination," Sustainability, MDPI, vol. 12(23), pages 1-20, December.
  510. Zhang, Mingming & Tang, Yamei & Liu, Liyun & Zhou, Dequn, 2022. "Optimal investment portfolio strategies for power enterprises under multi-policy scenarios of renewable energy," Renewable and Sustainable Energy Reviews, Elsevier, vol. 154(C).
  511. Louis Bhim & Reiichiro Kawai, 2018. "Smooth Upper Bounds For The Price Function Of American Style Options," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 21(01), pages 1-38, February.
  512. Lukito Adi Nugroho, 2017. "Real options valuation of franchise territorial exclusivity," Cogent Business & Management, Taylor & Francis Journals, vol. 4(1), pages 1262490-126, January.
  513. Tian, Lixin & Pan, Jianglai & Du, Ruijin & Li, Wenchao & Zhen, Zaili & Qibing, Gao, 2017. "The valuation of photovoltaic power generation under carbon market linkage based on real options," Applied Energy, Elsevier, vol. 201(C), pages 354-362.
  514. Giulia Di Nunno & Anton Yurchenko-Tytarenko, 2022. "Sandwiched Volterra Volatility model: Markovian approximations and hedging," Papers 2209.13054, arXiv.org, revised Jul 2024.
  515. Lin, Chung-Gee & Yang, Wei-Ning & Chen, Shu-Chuan, 2014. "Analyses of retirement benefits with options," Economic Modelling, Elsevier, vol. 36(C), pages 130-135.
  516. Lin Zhao & Sweder van Wijnbergen, 2013. "A Real Option Perspective on Valuing Gas Fields," Tinbergen Institute Discussion Papers 13-126/VI/DSF60, Tinbergen Institute.
  517. Wong, Hoi Ying & Guan, Peiqiu, 2011. "An FFT-network for Lévy option pricing," Journal of Banking & Finance, Elsevier, vol. 35(4), pages 988-999, April.
  518. Kirkby, J. Lars & Nguyen, Duy & Cui, Zhenyu, 2017. "A unified approach to Bermudan and barrier options under stochastic volatility models with jumps," Journal of Economic Dynamics and Control, Elsevier, vol. 80(C), pages 75-100.
  519. Kai Li & Jun Liu, 2016. "Reversing Momentum: The Optimal Dynamic Momentum Strategy," Research Paper Series 370, Quantitative Finance Research Centre, University of Technology, Sydney.
  520. Joachim Inkmann & David Blake & Zhen Shi, 2017. "Managing Financially Distressed Pension Plans In The Interest Of Beneficiaries," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 84(2), pages 539-565, June.
  521. Jiefei Yang & Guanglian Li, 2024. "Gradient-enhanced sparse Hermite polynomial expansions for pricing and hedging high-dimensional American options," Papers 2405.02570, arXiv.org.
  522. Daniel Z. Zanger, 2020. "General Error Estimates for the Longstaff–Schwartz Least-Squares Monte Carlo Algorithm," Mathematics of Operations Research, INFORMS, vol. 45(3), pages 923-946, August.
  523. 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.
  524. Guangxin Jiang & L. Jeff Hong & Barry L. Nelson, 2020. "Online Risk Monitoring Using Offline Simulation," INFORMS Journal on Computing, INFORMS, vol. 32(2), pages 356-375, April.
  525. Trotter, Ian M. & Gomes, Marília Fernandes Maciel & Braga, Marcelo José & Brochmann, Bjørn & Lie, Ole Nikolai, 2016. "Optimal LNG (liquefied natural gas) regasification scheduling for import terminals with storage," Energy, Elsevier, vol. 105(C), pages 80-88.
  526. Yichen Zhu & Marcos Escobar-Anel & Matt Davison, 2023. "A Polynomial-Affine Approximation for Dynamic Portfolio Choice," Computational Economics, Springer;Society for Computational Economics, vol. 62(3), pages 1177-1213, October.
  527. Lian, Yu-Min & Liao, Szu-Lang & Chen, Jun-Home, 2015. "State-dependent jump risks for American gold futures option pricing," The North American Journal of Economics and Finance, Elsevier, vol. 33(C), pages 115-133.
  528. Scott B. Laprise & Michael C. Fu & Steven I. Marcus & Andrew E. B. Lim & Huiju Zhang, 2006. "Pricing American-Style Derivatives with European Call Options," Management Science, INFORMS, vol. 52(1), pages 95-110, January.
  529. James E. Smith, 2005. "Alternative Approaches for Solving Real-Options Problems," Decision Analysis, INFORMS, vol. 2(2), pages 89-102, June.
  530. Konstantinos Konstantaras & Vasilios Sogiakas, 2019. "Is stock liquidity transferred and upgraded in acquisitions? Evidence from liquidity synergies in US freeze-outs," Annals of Operations Research, Springer, vol. 282(1), pages 179-216, November.
  531. Justin A. Sirignano & Gerry Tsoukalas & Kay Giesecke, 2016. "Large-Scale Loan Portfolio Selection," Operations Research, INFORMS, vol. 64(6), pages 1239-1255, December.
  532. Ihli, Hanna Julia & Maart, Syster Christin & Musshoff, Oliver, 2012. "Investment and Disinvestment in Irrigation Technology – An Experimental Analysis of Farmers’ Decision Behavior –," 2012 Annual Meeting, August 12-14, 2012, Seattle, Washington 124532, Agricultural and Applied Economics Association.
  533. Pedro Godinho, 2006. "Monte Carlo Estimation of Project Volatility for Real Options Analysis," GEMF Working Papers 2006-01, GEMF, Faculty of Economics, University of Coimbra.
  534. Denis Belomestny & Fabian Dickmann & Tigran Nagapetyan, 2013. "Pricing American options via multi-level approximation methods," Papers 1303.1334, arXiv.org, revised Dec 2013.
  535. 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.
  536. Mike Ludkovski, 2022. "Regression Monte Carlo for Impulse Control," Papers 2203.06539, arXiv.org.
  537. Chen, Ding & Härkönen, Hannu J. & Newton, David P., 2014. "Advancing the universality of quadrature methods to any underlying process for option pricing," Journal of Financial Economics, Elsevier, vol. 114(3), pages 600-612.
  538. Mehlkopf, R.J., 2011. "Risk sharing with the unborn," Other publications TiSEM fe8a8df6-455f-4624-af10-9, Tilburg University, School of Economics and Management.
  539. Zhang, Xiang & Li, Lingfei & Zhang, Gongqiu, 2021. "Pricing American drawdown options under Markov models," European Journal of Operational Research, Elsevier, vol. 293(3), pages 1188-1205.
  540. Patrick Hénaff & Ismail Laachir & Francesco Russo, 2018. "Gas Storage Valuation and Hedging: A Quantification of Model Risk," IJFS, MDPI, vol. 6(1), pages 1-27, March.
  541. Lee, David, 2023. "Modeling Collateralization and Its Economic Significance," MPRA Paper 118678, University Library of Munich, Germany.
  542. Alexander, Carol & Chen, Xi & Ward, Charles, 2021. "Risk-adjusted valuation for real option decisions," Journal of Economic Behavior & Organization, Elsevier, vol. 191(C), pages 1046-1064.
  543. Alghalith, Moawia, 2018. "Pricing the American options using the Black–Scholes pricing formula," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 507(C), pages 443-445.
  544. Raquel M. Gaspar & Sara D. Lopes & Bernardo Sequeira, 2020. "Neural Network Pricing of American Put Options," Risks, MDPI, vol. 8(3), pages 1-24, July.
  545. Vijay V. Desai & Vivek F. Farias & Ciamac C. Moallemi, 2012. "Pathwise Optimization for Optimal Stopping Problems," Management Science, INFORMS, vol. 58(12), pages 2292-2308, December.
  546. Wujiang Lou, 2015. "Liability-side Pricing of Swaps and Coherent CVA and FVA by Regression/Simulation," Papers 1512.07340, arXiv.org.
  547. Lars Stentoft, 2019. "Efficient Numerical Pricing of American Call Options Using Symmetry Arguments," JRFM, MDPI, vol. 12(2), pages 1-26, April.
  548. Hendrik Kohrs & Hermann Mühlichen & Benjamin R. Auer & Frank Schuhmacher, 2019. "Pricing and risk of swing contracts in natural gas markets," Review of Derivatives Research, Springer, vol. 22(1), pages 77-167, April.
  549. Maeda, Mansaku & Watts, David, 2019. "The unnoticed impact of long-term cost information on wind farms’ economic value in the USA. – A real option analysis," Applied Energy, Elsevier, vol. 241(C), pages 540-547.
  550. Xiaolin Luo & Pavel V. Shevchenko, 2015. "Valuation of capital protection options," Papers 1508.00668, arXiv.org, revised May 2017.
  551. Mark Broadie & Menghui Cao, 2008. "Improved lower and upper bound algorithms for pricing American options by simulation," Quantitative Finance, Taylor & Francis Journals, vol. 8(8), pages 845-861.
  552. Barigou, Karim & Chen, Ze & Dhaene, Jan, 2019. "Fair dynamic valuation of insurance liabilities: Merging actuarial judgement with market- and time-consistency," Insurance: Mathematics and Economics, Elsevier, vol. 88(C), pages 19-29.
  553. Denis Belomestny & G. Milstein & John Schoenmakers, 2010. "Sensitivities for Bermudan options by regression methods," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 33(2), pages 117-138, November.
  554. Mark Joshi & Oh Kang Kwon, 2016. "Least Squares Monte Carlo Credit Value Adjustment With Small And Unidirectional Bias," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 19(08), pages 1-16, December.
  555. Zhu, Lei & Fan, Ying, 2013. "Modelling the investment in carbon capture retrofits of pulverized coal-fired plants," Energy, Elsevier, vol. 57(C), pages 66-75.
  556. Christian Yeo, 2023. "An analysis of least squares regression and neural networks approximation for the pricing of swing options," Papers 2307.04510, arXiv.org.
  557. Vikranth Lokeshwar & Vikram Bhardawaj & Shashi Jain, 2019. "Neural network for pricing and universal static hedging of contingent claims," Papers 1911.11362, arXiv.org.
  558. Filipović, Damir & Larsson, Martin & Pulido, Sergio, 2020. "Markov cubature rules for polynomial processes," Stochastic Processes and their Applications, Elsevier, vol. 130(4), pages 1947-1971.
  559. Locatelli, Giorgio & Mancini, Mauro & Lotti, Giovanni, 2020. "A simple-to-implement real options method for the energy sector," Energy, Elsevier, vol. 197(C).
  560. Luo, Xiaolin & Shevchenko, Pavel V., 2015. "Valuation of variable annuities with guaranteed minimum withdrawal and death benefits via stochastic control optimization," Insurance: Mathematics and Economics, Elsevier, vol. 62(C), pages 5-15.
  561. William Lefebvre & Gr'egoire Loeper & Huy^en Pham, 2022. "Differential learning methods for solving fully nonlinear PDEs," Papers 2205.09815, arXiv.org.
  562. Zhang, Xinhua & Hueng, C. James & Lemke, Robert J., 2023. "Using a price floor on carbon allowances to achieve emission reductions under uncertainty," Economic Analysis and Policy, Elsevier, vol. 80(C), pages 1096-1110.
  563. Dai, Qiang & Singleton, Kenneth J., 2003. "Fixed-income pricing," Handbook of the Economics of Finance, in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, edition 1, volume 1, chapter 20, pages 1207-1246, Elsevier.
  564. Díaz, Guzmán & Coto, José & Gómez-Aleixandre, Javier, 2019. "Levelized income loss as a metric of the adaptation of wind and energy storage to variable prices," Applied Energy, Elsevier, vol. 238(C), pages 1179-1191.
  565. Zhang, M.M. & Zhou, D.Q. & Zhou, P. & Liu, G.Q., 2016. "Optimal feed-in tariff for solar photovoltaic power generation in China: A real options analysis," Energy Policy, Elsevier, vol. 97(C), pages 181-192.
  566. Zhao, Xiaoli & Yao, Jin & Sun, Chuyu & Pan, Wengeng, 2019. "Impacts of carbon tax and tradable permits on wind power investment in China," Renewable Energy, Elsevier, vol. 135(C), pages 1386-1399.
  567. Tomohisa Yamakami & Yuki Takeuchi, 2022. "Pricing Bermudan Swaption under Two Factor Hull-White Model with Fast Gauss Transform," Papers 2212.08250, arXiv.org.
  568. de Jong, C.M., 2005. "The Nature of Power Spikes: a regime-switch approach," ERIM Report Series Research in Management ERS-2005-052-F&A, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
  569. Lokman A Abbas-Turki & Stéphane Crépey & Bouazza Saadeddine, 2023. "Pathwise CVA Regressions With Oversimulated Defaults," Post-Print hal-03910149, HAL.
  570. Andrew Green & Chris Kenyon, 2014. "KVA: Capital Valuation Adjustment," Papers 1405.0515, arXiv.org, revised Oct 2014.
  571. Valeriy Ryabchenko & Sergey Sarykalin & Stan Uryasev, 2004. "Pricing European Options by Numerical Replication: Quadratic Programming with Constraints," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 11(3), pages 301-333, September.
  572. J'er^ome Lelong, 2016. "Pricing American options using martingale bases," Papers 1604.03317, arXiv.org.
  573. Xiaolin Luo & Pavel Shevchenko, 2014. "Fast Numerical Method for Pricing of Variable Annuities with Guaranteed Minimum Withdrawal Benefit under Optimal Withdrawal Strategy," Papers 1410.8609, arXiv.org.
  574. Volker Krätschmer & Marcel Ladkau & Roger J. A. Laeven & John G. M. Schoenmakers & Mitja Stadje, 2018. "Optimal Stopping Under Uncertainty in Drift and Jump Intensity," Mathematics of Operations Research, INFORMS, vol. 43(4), pages 1177-1209, November.
  575. Bernard Lapeyre & Jérôme Lelong, 2020. "Neural network regression for Bermudan option pricing," Working Papers hal-02183587, HAL.
  576. Fedorov, Semyon & Lavrutich, Maria & Hagspiel, Verena & Lerdahl, Thomas, 2022. "Risk and benefit sharing schemes in oil exploration and production," Energy Economics, Elsevier, vol. 116(C).
  577. Weilong Fu & Ali Hirsa, 2019. "A fast method for pricing American options under the variance gamma model," Papers 1903.07519, arXiv.org.
  578. Pavel V. Shevchenko & Xiaolin Luo, 2016. "A Unified Pricing of Variable Annuity Guarantees under the Optimal Stochastic Control Framework," Risks, MDPI, vol. 4(3), pages 1-31, July.
  579. Chockalingam, Arun & Muthuraman, Kumar, 2015. "An approximate moving boundary method for American option pricing," European Journal of Operational Research, Elsevier, vol. 240(2), pages 431-438.
  580. Yu. A. Kuperin & P. A. Poloskov, 2010. "American Options Pricing under Stochastic Volatility: Approximation of the Early Exercise Surface and Monte Carlo Simulations," Papers 1009.5495, arXiv.org.
  581. Alexander Boogert & Cyriel de Jong, 2007. "Gas Storage Valuation Using a Monte Carlo Method," Birkbeck Working Papers in Economics and Finance 0704, Birkbeck, Department of Economics, Mathematics & Statistics.
  582. Christian JONEN & Audrey LAUDE, 2011. "Biomasse and CCS: The Influence of the Learning Effect," LEO Working Papers / DR LEO 273, Orleans Economics Laboratory / Laboratoire d'Economie d'Orleans (LEO), University of Orleans.
  583. Zhou, Zhengqing & Wang, Guanyang & Blanchet, Jose H. & Glynn, Peter W., 2023. "Unbiased Optimal Stopping via the MUSE," Stochastic Processes and their Applications, Elsevier, vol. 166(C).
  584. Francisco G'omez Casanova & 'Alvaro Leitao & Fernando de Lope Contreras & Carlos V'azquez, 2024. "Deep Joint Learning valuation of Bermudan Swaptions," Papers 2404.11257, arXiv.org.
  585. Zbigniew Palmowski & Tomasz Serafin, 2020. "A Note on Simulation Pricing of π -Options," Risks, MDPI, vol. 8(3), pages 1-19, August.
  586. BRATIAN Vasile, 2017. "Options Evaluation Using Monte Carlo Simulation," Revista Economica, Lucian Blaga University of Sibiu, Faculty of Economic Sciences, vol. 69(4), pages 30-42, November.
  587. Cheng, Cheng & Wang, Zhen & Liu, Mingming & Chen, Qiang & Gbatu, Abimelech Paye & Ren, Xiaohang, 2017. "Defer option valuation and optimal investment timing of solar photovoltaic projects under different electricity market systems and support schemes," Energy, Elsevier, vol. 127(C), pages 594-610.
  588. Yacin Jerbi, 2016. "Early exercise premium method for pricing American options under the J-model," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 2(1), pages 1-26, December.
  589. Ammann, Manuel & Kind, Axel & Wilde, Christian, 2008. "Simulation-based pricing of convertible bonds," Journal of Empirical Finance, Elsevier, vol. 15(2), pages 310-331, March.
  590. Seyed Amir Hejazi & Kenneth R. Jackson & Guojun Gan, 2017. "A Spatial Interpolation Framework for Efficient Valuation of Large Portfolios of Variable Annuities," Papers 1701.04134, arXiv.org.
  591. Chan, Tat Lung (Ron), 2019. "Efficient computation of european option prices and their sensitivities with the complex fourier series method," The North American Journal of Economics and Finance, Elsevier, vol. 50(C).
  592. Henao, Alvin & Sauma, Enzo & Gonzalez, Angel, 2018. "Impact of introducing flexibility in the Colombian transmission expansion planning," Energy, Elsevier, vol. 157(C), pages 131-140.
  593. Reesor, R. Mark & Stentoft, Lars & Zhu, Xiaotian, 2024. "A critical analysis of the Weighted Least Squares Monte Carlo method for pricing American options," Finance Research Letters, Elsevier, vol. 64(C).
  594. Shevchenko, Pavel V. & Luo, Xiaolin, 2017. "Valuation of variable annuities with Guaranteed Minimum Withdrawal Benefit under stochastic interest rate," Insurance: Mathematics and Economics, Elsevier, vol. 76(C), pages 104-117.
  595. Cheng, Chunli & Hilpert, Christian & Miri Lavasani, Aidin & Schaefer, Mick, 2023. "Surrender contagion in life insurance," European Journal of Operational Research, Elsevier, vol. 305(3), pages 1465-1479.
  596. León, Angel & Vaello-Sebastià, Antoni, 2010. "A simulation-based algorithm for American executive stock option valuation," Finance Research Letters, Elsevier, vol. 7(1), pages 14-23, March.
  597. Ludovic Goudenege & Andrea Molent & Antonino Zanette, 2019. "Pricing and hedging GMWB in the Heston and in the Black–Scholes with stochastic interest rate models," Computational Management Science, Springer, vol. 16(1), pages 217-248, February.
  598. Nelson Vadori, 2022. "Calibration of Derivative Pricing Models: a Multi-Agent Reinforcement Learning Perspective," Papers 2203.06865, arXiv.org, revised Oct 2023.
  599. Faller, D. & Petruccione, F., 2003. "A master equation approach to option pricing," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 319(C), pages 519-534.
  600. Minqiang Li, 2010. "A quasi-analytical interpolation method for pricing American options under general multi-dimensional diffusion processes," Review of Derivatives Research, Springer, vol. 13(2), pages 177-217, July.
  601. Dragos Florin Ciocan & Velibor V. Mišić, 2022. "Interpretable Optimal Stopping," Management Science, INFORMS, vol. 68(3), pages 1616-1638, March.
  602. Gagliardini, Patrick & Ronchetti, Diego, 2013. "Semi-parametric estimation of American option prices," Journal of Econometrics, Elsevier, vol. 173(1), pages 57-82.
  603. Varli, Yusuf & Yildirim, Yildiray, 2015. "Default and prepayment modelling in participating mortgages," Journal of Banking & Finance, Elsevier, vol. 61(C), pages 81-88.
  604. Bacinello, Anna Rita & Maggistro, Rosario & Zoccolan, Ivan, 2024. "Risk-neutral valuation of GLWB riders in variable annuities," Insurance: Mathematics and Economics, Elsevier, vol. 114(C), pages 1-14.
  605. Yanhui Shen, 2023. "American Option Pricing using Self-Attention GRU and Shapley Value Interpretation," Papers 2310.12500, arXiv.org.
  606. Etienne Chevalier & Sergio Pulido & Elizabeth Z'u~niga, 2021. "American options in the Volterra Heston model," Papers 2103.11734, arXiv.org, revised May 2022.
  607. Pavel V. Shevchenko & Xiaolin Luo, 2016. "A unified pricing of variable annuity guarantees under the optimal stochastic control framework," Papers 1605.00339, arXiv.org.
  608. M. H. Vellekoop & J. W. Nieuwenhuis, 2006. "Efficient Pricing of Derivatives on Assets with Discrete Dividends," Applied Mathematical Finance, Taylor & Francis Journals, vol. 13(3), pages 265-284.
  609. Maya Briani & Lucia Caramellino & Antonino Zanette, 2013. "A hybrid approach for the implementation of the Heston model," Papers 1307.7178, arXiv.org, revised Sep 2017.
  610. Mahringer, Steffen & Prokopczuk, Marcel, 2015. "An empirical model comparison for valuing crack spread options," Energy Economics, Elsevier, vol. 51(C), pages 177-187.
  611. Kovacevic, Raimund M. & Pflug, Georg Ch., 2014. "Electricity swing option pricing by stochastic bilevel optimization: A survey and new approaches," European Journal of Operational Research, Elsevier, vol. 237(2), pages 389-403.
  612. Yichen Zhu & Marcos Escobar-Anel, 2021. "A Neural Network Monte Carlo Approximation for Expected Utility Theory," JRFM, MDPI, vol. 14(7), pages 1-18, July.
  613. Sebastian Sund & Lars H. Sendstad & Jacco J. J. Thijssen, 2022. "Kalman filter approach to real options with active learning," Computational Management Science, Springer, vol. 19(3), pages 457-490, July.
  614. Liu, Qiang & Guo, Shuxin, 2020. "An excellent approximation for the m out of n day provision," The North American Journal of Economics and Finance, Elsevier, vol. 54(C).
  615. Pang, Xiaochuan & Zhu, Shushang & Cui, Xueting & Ma, Jiali, 2023. "Systemic risk of optioned portfolio: Controllability and optimization," Journal of Economic Dynamics and Control, Elsevier, vol. 153(C).
  616. Carlos Andrés Zapata Quimbayo, 2020. "OPCIONES REALES Una guía teórico-práctica para la valoración de inversiones bajo incertidumbre mediante modelos en tiempo discreto y simulación de Monte Carlo," Books, Universidad Externado de Colombia, Facultad de Finanzas, Gobierno y Relaciones Internacionales, number 138, April.
  617. Boyer, M. Martin & Stentoft, Lars, 2013. "If we can simulate it, we can insure it: An application to longevity risk management," Insurance: Mathematics and Economics, Elsevier, vol. 52(1), pages 35-45.
  618. 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.
  619. Piergiacomo Sabino, 2022. "Pricing Energy Derivatives in Markets Driven by Tempered Stable and CGMY Processes of Ornstein–Uhlenbeck Type," Risks, MDPI, vol. 10(8), pages 1-23, July.
  620. 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.
  621. Erhan Bayraktar & Qi Feng & Zhaoyu Zhang, 2022. "Deep Signature Algorithm for Multi-dimensional Path-Dependent Options," Papers 2211.11691, arXiv.org, revised Jan 2024.
  622. Feodoria, Mark & Förstemann, Till, 2015. "Lethal lapses: How a positive interest rate shock might stress German life insurers," Discussion Papers 12/2015, Deutsche Bundesbank.
  623. Fernando Antonio Lucena Aiube & Edison Americo Huarsaya Tito, 2009. "Evaluating cash benefits as real options for a commodity producer in an emerging market," Brazilian Review of Finance, Brazilian Society of Finance, vol. 7(3), pages 361-375.
  624. Junkee Jeon & Geonwoo Kim, 2022. "Analytic Valuation Formula for American Strangle Option in the Mean-Reversion Environment," Mathematics, MDPI, vol. 10(15), pages 1-19, July.
  625. Daniel Zanger, 2013. "Quantitative error estimates for a least-squares Monte Carlo algorithm for American option pricing," Finance and Stochastics, Springer, vol. 17(3), pages 503-534, July.
  626. Michael Ludkovski & Aditya Maheshwari, 2018. "Simulation Methods for Stochastic Storage Problems: A Statistical Learning Perspective," Papers 1803.11309, arXiv.org.
  627. Xiaotong Lian & Yingda Song, 2021. "Pricing and calibration of the futures options market: A unified approximation," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(7), pages 1074-1091, July.
  628. Nicholas Andrew Yap Swee Guan, 2015. "Regression and Convex Switching System Methods for Stochastic Control Problems with Applications to Multiple-Exercise Options," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 5-2015, January-A.
  629. Vincent Lemaire & Gilles Pag`es & Christian Yeo, 2023. "Swing contract pricing: with and without Neural Networks," Papers 2306.03822, arXiv.org, revised Mar 2024.
  630. Rombouts, Jeroen V.K. & Stentoft, Lars & Violante, Francesco, 2020. "Pricing individual stock options using both stock and market index information," Journal of Banking & Finance, Elsevier, vol. 111(C).
  631. Ruas, João Pedro & Dias, José Carlos & Vidal Nunes, João Pedro, 2013. "Pricing and static hedging of American-style options under the jump to default extended CEV model," Journal of Banking & Finance, Elsevier, vol. 37(11), pages 4059-4072.
  632. S'ergio C. Bezerra & Alberto Ohashi & Francesco Russo & Francys de Souza, 2017. "Discrete-type approximations for non-Markovian optimal stopping problems: Part II," Papers 1707.05250, arXiv.org, revised Dec 2019.
  633. A. Max Reppen & H. Mete Soner & Valentin Tissot-Daguette, 2023. "Deep stochastic optimization in finance," Digital Finance, Springer, vol. 5(1), pages 91-111, March.
  634. Wenliang Guo, 2020. "Currency Regimes, Volatility Risks, and Carry Trades: The Option Value of Government Currency Intervention in Emerging Markets," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 10(3), pages 1-4.
  635. Mike Ludkovski, 2020. "mlOSP: Towards a Unified Implementation of Regression Monte Carlo Algorithms," Papers 2012.00729, arXiv.org, revised Oct 2022.
  636. Anders B. Trolle & Eduardo S. Schwartz, 2006. "Unspanned Stochastic Volatility and the Pricing of Commodity Derivatives," NBER Working Papers 12744, National Bureau of Economic Research, Inc.
  637. Xu, Wei & Šević, Aleksandar & Šević, Željko, 2022. "Implied volatility surface construction for commodity futures options traded in China," Research in International Business and Finance, Elsevier, vol. 61(C).
  638. Selvaprabu Nadarajah & François Margot & Nicola Secomandi, 2015. "Relaxations of Approximate Linear Programs for the Real Option Management of Commodity Storage," Management Science, INFORMS, vol. 61(12), pages 3054-3076, December.
  639. Alexander Chapovsky & Andrew Rennie & Pedro Tavares, 2007. "Stochastic Intensity Modeling For Structured Credit Exotics," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 10(04), pages 633-652.
  640. Jérôme Lelong, 2019. "Pricing path-dependent Bermudan options using Wiener chaos expansion: an embarrassingly parallel approach," Working Papers hal-01983115, HAL.
  641. Paul Glasserman & Kyoung-Kuk Kim, 2011. "Gamma expansion of the Heston stochastic volatility model," Finance and Stochastics, Springer, vol. 15(2), pages 267-296, June.
  642. Justin Sirignano & Konstantinos Spiliopoulos, 2017. "DGM: A deep learning algorithm for solving partial differential equations," Papers 1708.07469, arXiv.org, revised Sep 2018.
  643. Ihli, Hanna Julia & Musshoff, Oliver, 2013. "Investment Behavior of Ugandan Smallholder Farmers: An Experimental Analysis," GlobalFood Discussion Papers 154775, Georg-August-Universitaet Goettingen, GlobalFood, Department of Agricultural Economics and Rural Development.
  644. Junyao Chen & Tony Sit & Hoi Ying Wong, 2019. "Simulation-based Value-at-Risk for Nonlinear Portfolios," Papers 1904.09088, arXiv.org.
  645. Flora, Maria & Tankov, Peter, 2023. "Green investment and asset stranding under transition scenario uncertainty," Energy Economics, Elsevier, vol. 124(C).
  646. Marco Di Francesco & Roberta Simonella, 2023. "A stochastic Asset Liability Management model for life insurance companies," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 37(1), pages 61-94, March.
  647. M. Briani & L. Caramellino & A. Zanette, 2015. "A hybrid tree/finite-difference approach for Heston-Hull-White type models," Papers 1503.03705, arXiv.org, revised Dec 2017.
  648. Michael Kohler, 2008. "A regression-based smoothing spline Monte Carlo algorithm for pricing American options in discrete time," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 92(2), pages 153-178, May.
  649. Claus Baumgart & Johannes Krebs & Robert Lempertseder & Oliver Pfaffel, 2019. "Quantifying Life Insurance Risk using Least-Squares Monte Carlo," Papers 1910.03951, arXiv.org.
  650. Schachter, J.A. & Mancarella, P., 2016. "A critical review of Real Options thinking for valuing investment flexibility in Smart Grids and low carbon energy systems," Renewable and Sustainable Energy Reviews, Elsevier, vol. 56(C), pages 261-271.
  651. Zhen, Zaili & Lou, Liyun & Tian, Lixin & Gao, Qibing, 2018. "Investment optimization path of NG power generation in China based on carbon value realization and market linkage," Applied Energy, Elsevier, vol. 210(C), pages 241-255.
  652. Rodrigo S. Targino & Gareth W. Peters & Georgy Sofronov & Pavel V. Shevchenko, 2017. "Optimal Exercise Strategies for Operational Risk Insurance via Multiple Stopping Times," Methodology and Computing in Applied Probability, Springer, vol. 19(2), pages 487-518, June.
  653. Hampus Engsner, 2021. "Least Squares Monte Carlo applied to Dynamic Monetary Utility Functions," Papers 2101.10947, arXiv.org, revised Apr 2021.
  654. Penizzotto, F. & Pringles, R. & Olsina, F., 2019. "Real options valuation of photovoltaic power investments in existing buildings," Renewable and Sustainable Energy Reviews, Elsevier, vol. 114(C), pages 1-1.
  655. de la Cruz, H. & Jimenez, J. C, 2020. "Exact pathwise simulation of multi-dimensional Ornstein–Uhlenbeck processes," Applied Mathematics and Computation, Elsevier, vol. 366(C).
  656. Ludkovski, Michael & Young, Virginia R., 2008. "Indifference pricing of pure endowments and life annuities under stochastic hazard and interest rates," Insurance: Mathematics and Economics, Elsevier, vol. 42(1), pages 14-30, February.
  657. Jorge Guardiola & Antonio Falcó, 2004. "A Simulation Approach To The Valuation Of Capital Budgeting Projects Incorporating A Defer Option," Working Papers. Serie EC 2004-22, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
  658. Lu Xiong & Jiyao Luo & Hanna Vise & Madison White, 2023. "Distributed Least-Squares Monte Carlo for American Option Pricing," Risks, MDPI, vol. 11(8), pages 1-16, August.
  659. Schneider, Lorenz & Tavin, Bertrand, 2018. "From the Samuelson volatility effect to a Samuelson correlation effect: An analysis of crude oil calendar spread options," Journal of Banking & Finance, Elsevier, vol. 95(C), pages 185-202.
  660. Ma, Yiju & Swandi, Kevin & Chapman, Archie C. & Verbič, Gregor, 2020. "Multi-stage compound real options valuation in residential PV-Battery investment," Energy, Elsevier, vol. 191(C).
  661. Anders B. Trolle & Eduardo S. Schwartz, 2009. "A General Stochastic Volatility Model for the Pricing of Interest Rate Derivatives," The Review of Financial Studies, Society for Financial Studies, vol. 22(5), pages 2007-2057, May.
  662. Anurag Sodhi, 2018. "American Put Option pricing using Least squares Monte Carlo method under Bakshi, Cao and Chen Model Framework (1997) and comparison to alternative regression techniques in Monte Carlo," Papers 1808.02791, arXiv.org.
  663. Yao Elikem Ayekple & Charles Kofi Tetteh & Prince Kwaku Fefemwole, 2018. "Markov Chain Monte Carlo Method for Estimating Implied Volatility in Option Pricing," Journal of Mathematics Research, Canadian Center of Science and Education, vol. 10(6), pages 108-116, December.
  664. 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.
  665. Song-Ping Zhu & Xin-Jiang He & XiaoPing Lu, 2018. "A new integral equation formulation for American put options," Quantitative Finance, Taylor & Francis Journals, vol. 18(3), pages 483-490, March.
  666. J. C. Arismendi & Marcel Prokopczuk, 2016. "A moment-based analytic approximation of the risk-neutral density of American options," Applied Mathematical Finance, Taylor & Francis Journals, vol. 23(6), pages 409-444, November.
  667. Giacomo Morelli & Lea Petrella, 2021. "Option Pricing, Zero Lower Bound, and COVID-19," Risks, MDPI, vol. 9(9), pages 1-13, September.
  668. Alexandre Roch, 2023. "Optimal Liquidation Through a Limit Order Book: A Neural Network and Simulation Approach," Methodology and Computing in Applied Probability, Springer, vol. 25(1), pages 1-29, March.
  669. He, Jie-Cao & Hsieh, Chang-Chieh & Huang, Zi-Wei & Lin, Shih-Kuei, 2023. "Valuation of callable range accrual linked to CMS Spread under generalized swap market model," International Review of Financial Analysis, Elsevier, vol. 90(C).
  670. Massimo Costabile & Fabio Viviano, 2021. "Modeling the Future Value Distribution of a Life Insurance Portfolio," Risks, MDPI, vol. 9(10), pages 1-17, October.
  671. Gregor Dorfleitner & Paul Schneider & Kurt Hawlitschek & Arne Buch, 2008. "Pricing options with Green's functions when volatility, interest rate and barriers depend on time," Quantitative Finance, Taylor & Francis Journals, vol. 8(2), pages 119-133.
  672. Christian Bayer & Martin Redmann & John Schoenmakers, 2018. "Dynamic programming for optimal stopping via pseudo-regression," Papers 1808.04725, arXiv.org, revised Apr 2019.
  673. Rongju Zhang & Nicolas Langren'e & Yu Tian & Zili Zhu & Fima Klebaner & Kais Hamza, 2016. "Dynamic portfolio optimization with liquidity cost and market impact: a simulation-and-regression approach," Papers 1610.07694, arXiv.org, revised Jun 2019.
  674. 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.
  675. Ivan Guo & Nicolas Langren'e & Jiahao Wu, 2023. "Simultaneous upper and lower bounds of American option prices with hedging via neural networks," Papers 2302.12439, arXiv.org, revised Apr 2024.
  676. Nurşen Aydın & Ş. İlker Birbil & Hüseyin Topaloğlu, 2017. "Delayed Purchase Options in Single-Leg Revenue Management," Transportation Science, INFORMS, vol. 51(4), pages 1031-1045, November.
  677. Tim, Xiao, 2019. "Pricing Credit Default Swap Subject to Counterparty Risk and Collateralization," MPRA Paper 94701, University Library of Munich, Germany.
  678. Ralph S. J. Koijen & Juan Carlos Rodríguez & Alessandro Sbuelz, 2009. "Momentum and Mean Reversion in Strategic Asset Allocation," Management Science, INFORMS, vol. 55(7), pages 1199-1213, July.
  679. Alon Dourban & Liron Yedidsion, 2017. "Optimal Purchasing Policy For Mean-Reverting Items in a Finite Horizon," Papers 1711.03188, arXiv.org.
  680. 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.
  681. Mojtaba Hajipour & Alaeddin Malek, 2015. "Efficient High-Order Numerical Methods for Pricing of Options," Computational Economics, Springer;Society for Computational Economics, vol. 45(1), pages 31-47, January.
  682. Yan, Dong & Lin, Sha & Hu, Zhihao & Yang, Ben-Zhang, 2022. "Pricing American options with stochastic volatility and small nonlinear price impact: A PDE approach," Chaos, Solitons & Fractals, Elsevier, vol. 163(C).
  683. Audrey Laude, 2011. "Uncertainty about long term climate targets: A real option approach to investment appraisal," Working Papers halshs-00829667, HAL.
  684. Masci, Martín Ezequiel, 2012. "Irreversibilidad e incertidumbre de las decisiones financieras en i&d [Irreversibility and uncertainty of the financial investments on r&d]," MPRA Paper 40970, University Library of Munich, Germany.
  685. Ascione, Giacomo & Mehrdoust, Farshid & Orlando, Giuseppe & Samimi, Oldouz, 2023. "Foreign Exchange Options on Heston-CIR Model Under Lévy Process Framework," Applied Mathematics and Computation, Elsevier, vol. 446(C).
  686. 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.
  687. Shahnazari, Mahdi & McHugh, Adam & Maybee, Bryan & Whale, Jonathan, 2014. "Evaluation of power investment decisions under uncertain carbon policy: A case study for converting coal fired steam turbine to combined cycle gas turbine plants in Australia," Applied Energy, Elsevier, vol. 118(C), pages 271-279.
  688. Wei Xu & Zhiwu Hong & Chenxiang Qin, 2013. "A new sampling strategy willow tree method with application to path-dependent option pricing," Quantitative Finance, Taylor & Francis Journals, vol. 13(6), pages 861-872, May.
  689. Yadong Li & Ariye Shater, 2010. "Valuation Bound of Tranche Options," Papers 1004.1759, arXiv.org.
  690. Céline Labart & Jérôme Lelong, 2011. "A Parallel Algorithm for solving BSDEs - Application to the pricing and hedging of American options," Working Papers hal-00567729, HAL.
  691. Len, Angel & Vaello-Sebasti, Antoni, 2009. "American GARCH employee stock option valuation," Journal of Banking & Finance, Elsevier, vol. 33(6), pages 1129-1143, June.
  692. Jérôme Lelong, 2018. "Dual pricing of American options by Wiener chaos expansion," Post-Print hal-01299819, HAL.
  693. Meritxell Albertí & Ángel León & Gerard Llobet, 2003. "Evaluation of a Taxi Sector Reform: A Real Options Approach," Working Papers wp2003_0312, CEMFI.
  694. Claudio Fontana & Francesco Rotondi, 2022. "Valuation of general GMWB annuities in a low interest rate environment," Papers 2208.10183, arXiv.org, revised Aug 2023.
  695. Stephan Schlüter & Sejung Jung & Andreas von Döllen & Wonhee Lee, 2022. "An Alternative to Index-Based Gas Sourcing Using Neural Networks," Energies, MDPI, vol. 15(13), pages 1-11, June.
  696. Hanfeld, Marc & Schlüter, Stephan, 2016. "Operating a swing option on today's gas markets: How least squares Monte Carlo works and why it is beneficial," FAU Discussion Papers in Economics 10/2016, Friedrich-Alexander University Erlangen-Nuremberg, Institute for Economics.
  697. Lukito Adi Nugroho, 2016. "Franchise ownership redirection: real options perspective," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 2(1), pages 1-11, December.
  698. Kitapbayev, Yerkin & Moriarty, John & Mancarella, Pierluigi, 2015. "Stochastic control and real options valuation of thermal storage-enabled demand response from flexible district energy systems," Applied Energy, Elsevier, vol. 137(C), pages 823-831.
  699. Li, Jing & Szimayer, Alexander, 2010. "The effect of policyholders' rationality on unit-linked life insurance contracts with surrender guarantees," Bonn Econ Discussion Papers 22/2010, University of Bonn, Bonn Graduate School of Economics (BGSE).
  700. Michael Ludkovski, 2015. "Kriging Metamodels and Experimental Design for Bermudan Option Pricing," Papers 1509.02179, arXiv.org, revised Oct 2016.
  701. Piergiacomo Sabino, 2021. "Pricing Energy Derivatives in Markets Driven by Tempered Stable and CGMY Processes of Ornstein-Uhlenbeck Type," Papers 2103.13252, arXiv.org.
  702. Gilles Pages & Olivier Pironneau & Guillaume Sall, 2016. "The Parareal Algorithm for American Options
    [La méthode pararéelle pour les options américaines]    ," Working Papers hal-01320331, HAL.
  703. Eickholt, Mathias & Entrop, Oliver & Wilkens, Marco, 2014. "Individual investors and suboptimal early exercises in the fixed-income market," Passauer Diskussionspapiere, Betriebswirtschaftliche Reihe 14, University of Passau, Faculty of Business and Economics.
  704. Jeechul Woo & Chenru Liu & Jaehyuk Choi, 2024. "Leave‐one‐out least squares Monte Carlo algorithm for pricing Bermudan options," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 44(8), pages 1404-1428, August.
  705. Detemple, Jérôme & Garcia, René & Rindisbacher, Marcel, 2005. "Intertemporal asset allocation: A comparison of methods," Journal of Banking & Finance, Elsevier, vol. 29(11), pages 2821-2848, November.
  706. Andrés Mirantes & Javier Población & Gregorio Serna, 2015. "Commodity derivative valuation under a factor model with time-varying market prices of risk," Review of Derivatives Research, Springer, vol. 18(1), pages 75-93, April.
  707. Liu, Qiang & Guo, Shuxin, 2014. "Variance-constrained canonical least-squares Monte Carlo: An accurate method for pricing American options," The North American Journal of Economics and Finance, Elsevier, vol. 28(C), pages 77-89.
  708. Kharroubi Idris & Langrené Nicolas & Pham Huyên, 2014. "A numerical algorithm for fully nonlinear HJB equations: An approach by control randomization," Monte Carlo Methods and Applications, De Gruyter, vol. 20(2), pages 145-165, June.
  709. Ziping Wang & Dong-Qing Yao & Xiaohang Yue, 2017. "E-business system investment for fresh agricultural food industry in China," Annals of Operations Research, Springer, vol. 257(1), pages 379-394, October.
  710. Nan Chen & Yanchu Liu, 2014. "American Option Sensitivities Estimation via a Generalized Infinitesimal Perturbation Analysis Approach," Operations Research, INFORMS, vol. 62(3), pages 616-632, June.
  711. Alberto Bueno-Guerrero & Steven P. Clark, 2023. "Option Pricing under a Generalized Black–Scholes Model with Stochastic Interest Rates, Stochastic Strings, and Lévy Jumps," Mathematics, MDPI, vol. 12(1), pages 1-39, December.
  712. Purba Banerjee & Vasudeva Murthy & Shashi Jain, 2024. "Method of Lines for Valuation and Sensitivities of Bermudan Options," Computational Economics, Springer;Society for Computational Economics, vol. 63(1), pages 245-270, January.
  713. Benth, Fred Espen & Biegler-König, Richard & Kiesel, Rüdiger, 2013. "An empirical study of the information premium on electricity markets," Energy Economics, Elsevier, vol. 36(C), pages 55-77.
  714. Seong-Yun Jeong, 2014. "Economic Evaluation Of A Renewal Project Of The Construction Civil Affairs Administrative Service System In Korea Using Real Options," Economy & Business Journal, International Scientific Publications, Bulgaria, vol. 8(1), pages 894-902.
  715. Stéphane Crépey & Matthew F Dixon, 2020. "Gaussian process regression for derivative portfolio modeling and application to credit valuation adjustment computations," Post-Print hal-03910109, HAL.
  716. Lars Stentoft, 2020. "Computational Finance," JRFM, MDPI, vol. 13(7), pages 1-4, July.
  717. Pedro Duarte Gomes, 2024. "Mathematics of Differential Machine Learning in Derivative Pricing and Hedging," Papers 2405.01233, arXiv.org.
  718. Maart, Syster Christin & Musshoff, Oliver, 2011. "Optimal Timing of Farmland Investment - An Experimental Study on Farmers' Decision Behavior -," 2011 Annual Meeting, July 24-26, 2011, Pittsburgh, Pennsylvania 103693, Agricultural and Applied Economics Association.
  719. Xiao, Tim, 2022. "Generic Cancellable Note Analytics," EconStor Preprints 262367, ZBW - Leibniz Information Centre for Economics.
  720. Christian Bender & Nikolaus Schweizer, 2019. "`Regression Anytime' with Brute-Force SVD Truncation," Papers 1908.08264, arXiv.org, revised Oct 2020.
  721. Nemat Safarov & Colin Atkinson, 2017. "Natural Gas-Fired Power Plants Valuation And Optimization Under Lévy Copulas And Regime Switching," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 20(01), pages 1-38, February.
  722. Lucio Fernandez-Arjona & Damir Filipovi'c, 2020. "A machine learning approach to portfolio pricing and risk management for high-dimensional problems," Papers 2004.14149, arXiv.org, revised May 2022.
  723. Ioannis Kyriakou & Panos K. Pouliasis & Nikos C. Papapostolou & Nikos K. Nomikos, 2018. "Income uncertainty and the decision to invest in bulk shipping," European Financial Management, European Financial Management Association, vol. 24(3), pages 387-417, June.
  724. D. Belomestny & M. Kaledin & J. Schoenmakers, 2019. "Semi-tractability of optimal stopping problems via a weighted stochastic mesh algorithm," Papers 1906.09431, arXiv.org.
  725. Tommaso Paletta & Arturo Leccadito & Radu Tunaru, 2013. "Pricing and Hedging Basket Options with Exact Moment Matching," Papers 1312.4443, arXiv.org.
  726. Eikseth, Hans Marius & Lindset, Snorre, 2011. "Backdating executive stock options--An ex ante valuation," Journal of Economic Dynamics and Control, Elsevier, vol. 35(10), pages 1731-1743, October.
  727. Pedro Godinho, 2015. "Estimating State-Dependent Volatility of Investment Projects: A Simulation Approach," GEMF Working Papers 2015-02, GEMF, Faculty of Economics, University of Coimbra.
  728. Arun Chockalingam & Kumar Muthuraman, 2011. "American Options Under Stochastic Volatility," Operations Research, INFORMS, vol. 59(4), pages 793-809, August.
  729. Díaz, Guzmán & Moreno, Blanca & Coto, José & Gómez-Aleixandre, Javier, 2015. "Valuation of wind power distributed generation by using Longstaff–Schwartz option pricing method," Applied Energy, Elsevier, vol. 145(C), pages 223-233.
  730. Daniel Gull, 2011. "Valuation of Discount Options in Software License Agreements," Business & Information Systems Engineering: The International Journal of WIRTSCHAFTSINFORMATIK, Springer;Gesellschaft für Informatik e.V. (GI), vol. 3(4), pages 221-230, August.
  731. Nelson Areal & Artur Rodrigues & Manuel Armada, 2008. "On improving the least squares Monte Carlo option valuation method," Review of Derivatives Research, Springer, vol. 11(1), pages 119-151, March.
  732. Christian Bender, 2011. "Dual pricing of multi-exercise options under volume constraints," Finance and Stochastics, Springer, vol. 15(1), pages 1-26, January.
  733. Grzegorz Andruszkiewicz & Mark Davis & Sébastien Lleo, 2013. "Taming animal spirits: risk management with behavioural factors," Annals of Finance, Springer, vol. 9(2), pages 145-166, May.
  734. Xu, Wei & Chen, Yuehuan & Coleman, Conrad & Coleman, Thomas F., 2018. "Moment matching machine learning methods for risk management of large variable annuity portfolios," Journal of Economic Dynamics and Control, Elsevier, vol. 87(C), pages 1-20.
  735. Manfred Fruhwirth & Paul Schneider & Markus S. Schwaiger, 2007. "Timing Decisions in a Multinational Context: Implementing the Amin/Bodurtha Framework," Multinational Finance Journal, Multinational Finance Journal, vol. 11(3-4), pages 157-178, September.
  736. Michael C. Fu & Bingqing Li & Rongwen Wu & Tianqi Zhang, 2020. "Option Pricing Under a Discrete-Time Markov Switching Stochastic Volatility with Co-Jump Model," Papers 2006.15054, arXiv.org.
  737. Stephane Crepey & Andrea Macrina & Tuyet Mai Nguyen & David Skovmand, 2015. "Rational Multi-Curve Models with Counterparty-Risk Valuation Adjustments," Papers 1502.07397, arXiv.org.
  738. Balata, Alessandro & Ludkovski, Michael & Maheshwari, Aditya & Palczewski, Jan, 2021. "Statistical learning for probability-constrained stochastic optimal control," European Journal of Operational Research, Elsevier, vol. 290(2), pages 640-656.
  739. Kuangyuan Zhang & Richard Olawoyin & Antonio Nieto & Andrew N. Kleit, 2018. "Risk of commodity price, production cost and time to build in resource economics," Environment, Development and Sustainability: A Multidisciplinary Approach to the Theory and Practice of Sustainable Development, Springer, vol. 20(6), pages 2521-2544, December.
  740. Song-Ping Zhu, 2006. "An exact and explicit solution for the valuation of American put options," Quantitative Finance, Taylor & Francis Journals, vol. 6(3), pages 229-242.
  741. Tian-Shyr Dai & Yuh-Dauh Lyuu, 2002. "Efficient, exact algorithms for asian options with multiresolution lattices," Review of Derivatives Research, Springer, vol. 5(2), pages 181-203, May.
  742. 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.
  743. Raoul Pietersz & Antoon Pelsser & Marcel van Regenmortel, 2005. "Fast drift approximated pricing in the BGM model," Finance 0502005, University Library of Munich, Germany.
  744. Damiaan Chen & Roel Beetsma & Dirk Broeders, 2015. "Stability of participation in collective pension schemes: An option pricing approach," DNB Working Papers 484, Netherlands Central Bank, Research Department.
  745. Mario Cerrato & Kan Kwok Cheung, 2007. "Valuing American Style Options by Least Squares Methods," Money Macro and Finance (MMF) Research Group Conference 2006 49, Money Macro and Finance Research Group.
  746. Ludkovski, Michael, 2009. "A simulation approach to optimal stopping under partial information," Stochastic Processes and their Applications, Elsevier, vol. 119(12), pages 4061-4087, December.
  747. Rodrigues, Artur & Armada, Manuel J. Rocha, 2007. "The valuation of modular projects: A real options approach to the value of splitting," Global Finance Journal, Elsevier, vol. 18(2), pages 205-227.
  748. Shiyuan Zheng & Rudy R. Negenborn, 2017. "Terminal investment timing decisions in a competitive setting with uncertainty using a real option approach," Maritime Policy & Management, Taylor & Francis Journals, vol. 44(3), pages 392-411, April.
  749. Tubetov, Dulat & Maart, Syster Christin & Musshoff, Oliver, 2012. "Comparison of the Investment Behavior of German and Kazakhstani Farmers: an Experimental Approach," GlobalFood Discussion Papers 122422, Georg-August-Universitaet Goettingen, GlobalFood, Department of Agricultural Economics and Rural Development.
  750. Piergiacomo Sabino, 2021. "Normal Tempered Stable Processes and the Pricing of Energy Derivatives," Papers 2105.03071, arXiv.org.
  751. Boomsma, Trine Krogh & Meade, Nigel & Fleten, Stein-Erik, 2012. "Renewable energy investments under different support schemes: A real options approach," European Journal of Operational Research, Elsevier, vol. 220(1), pages 225-237.
  752. Reilly Pickard & F. Wredenhagen & Y. Lawryshyn, 2024. "Optimizing Deep Reinforcement Learning for American Put Option Hedging," Papers 2405.08602, arXiv.org.
  753. Jérôme Lelong, 2016. "Dual pricing of American options by Wiener chaos expansion," Working Papers hal-01299819, HAL.
  754. Denis Belomestny, 2011. "Pricing Bermudan options by nonparametric regression: optimal rates of convergence for lower estimates," Finance and Stochastics, Springer, vol. 15(4), pages 655-683, December.
  755. Bastian Felix, 2012. "Gas Storage Valuation: A Comparative Simulation Study," EWL Working Papers 1201, University of Duisburg-Essen, Chair for Management Science and Energy Economics, revised Apr 2014.
  756. Albanese, Claudio, 2007. "Callable Swaps, Snowballs And Videogames," MPRA Paper 5229, University Library of Munich, Germany, revised 01 Oct 2007.
  757. Kathrin Glau & Ricardo Pachon & Christian Potz, 2019. "Fast Calculation of Credit Exposures for Barrier and Bermudan options using Chebyshev interpolation," Papers 1905.00238, arXiv.org.
  758. Anders B. Trolle & Eduardo S. Schwartz, 2009. "Unspanned Stochastic Volatility and the Pricing of Commodity Derivatives," The Review of Financial Studies, Society for Financial Studies, vol. 22(11), pages 4423-4461, November.
  759. Jonathan A. Batten & Karren Lee-Hwei Khaw & Martin R. Young, 2014. "Convertible Bond Pricing Models," Journal of Economic Surveys, Wiley Blackwell, vol. 28(5), pages 775-803, December.
  760. Thompson, Matt, 2016. "Natural gas storage valuation, optimization, market and credit risk management," Journal of Commodity Markets, Elsevier, vol. 2(1), pages 26-44.
  761. Ivan Guo & Gregoire Loeper, 2018. "Pricing Bounds for Volatility Derivatives via Duality and Least Squares Monte Carlo," Journal of Optimization Theory and Applications, Springer, vol. 179(2), pages 598-617, November.
  762. repec:tin:wpaper:20230016 is not listed on IDEAS
  763. Alan White, 2018. "Pricing Credit Default Swap Subject to Counterparty Risk and Collateralization," Papers 1803.07843, arXiv.org.
  764. Savolainen, Jyrki, 2016. "Real options in metal mining project valuation: Review of literature," Resources Policy, Elsevier, vol. 50(C), pages 49-65.
  765. Christian Bayer & Juho Happola & Ra'ul Tempone, 2017. "Implied Stopping Rules for American Basket Options from Markovian Projection," Papers 1705.00558, arXiv.org, revised Jun 2017.
  766. Yuh‐Dauh Lyuu & Yu‐Quan Zhang, 2023. "Pricing multiasset time‐varying double‐barrier options with time‐dependent parameters," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(3), pages 404-434, March.
  767. Hejazi, Seyed Amir & Jackson, Kenneth R., 2016. "A neural network approach to efficient valuation of large portfolios of variable annuities," Insurance: Mathematics and Economics, Elsevier, vol. 70(C), pages 169-181.
  768. Moez Mrad & Nizar Touzi & Amina Zeghal, 2006. "Monte Carlo Estimation of a Joint Density Using Malliavin Calculus, and Application to American Options," Computational Economics, Springer;Society for Computational Economics, vol. 27(4), pages 497-531, June.
  769. Jain, Shashi & Roelofs, Ferry & Oosterlee, Cornelis W., 2014. "Decision-support tool for assessing future nuclear reactor generation portfolios," Energy Economics, Elsevier, vol. 44(C), pages 99-112.
  770. Lokman A. Abbas‐Turki & Stéphane Crépey & Bouazza Saadeddine, 2023. "Pathwise CVA regressions with oversimulated defaults," Mathematical Finance, Wiley Blackwell, vol. 33(2), pages 274-307, April.
  771. Brandão, Luiz E. & Fernandes, Gláucia & Dyer, James S., 2018. "Valuing multistage investment projects in the pharmaceutical industry," European Journal of Operational Research, Elsevier, vol. 271(2), pages 720-732.
  772. Siddiqui, Afzal S. & Marnay, Chris & Wiser, Ryan H., 2007. "Real options valuation of US federal renewable energy research, development, demonstration, and deployment," Energy Policy, Elsevier, vol. 35(1), pages 265-279, January.
  773. Eduardo S. Schwartz, 2003. "Patents and R&D as Real Options," NBER Working Papers 10114, National Bureau of Economic Research, Inc.
  774. Carol Alexander & Xi Chen, 2014. "Risk-adjusted Valuation of the Real Option to Invest," ICMA Centre Discussion Papers in Finance icma-dp2014-19, Henley Business School, University of Reading.
  775. Mark Broadie & Weiwei Shen, 2017. "Numerical solutions to dynamic portfolio problems with upper bounds," Computational Management Science, Springer, vol. 14(2), pages 215-227, April.
  776. Cassimon, D. & Engelen, P.J. & Thomassen, L. & Van Wouwe, M., 2007. "Closed-form valuation of American call options on stocks paying multiple dividends," Finance Research Letters, Elsevier, vol. 4(1), pages 33-48, March.
  777. Mark Broadie & Yusaku Yamamoto, 2003. "Application of the Fast Gauss Transform to Option Pricing," Management Science, INFORMS, vol. 49(8), pages 1071-1088, August.
  778. Medvedev, Alexey & Scaillet, Olivier, 2010. "Pricing American options under stochastic volatility and stochastic interest rates," Journal of Financial Economics, Elsevier, vol. 98(1), pages 145-159, October.
  779. Ruolan Wei & Yunlong Ma & Huina Bi & Qi Dong, 2024. "ESG-Driven Investment Decisions in Photovoltaic Projects," Energies, MDPI, vol. 17(16), pages 1-20, August.
  780. Pavel V. Shevchenko & Xiaolin Luo, 2016. "Valuation of Variable Annuities with Guaranteed Minimum Withdrawal Benefit under Stochastic Interest Rate," Papers 1602.03238, arXiv.org, revised Jan 2017.
  781. Hu, Junfei & Chen, Huanyue & Zhou, Peng & Guo, Peng, 2022. "Optimal subsidy level for waste-to-energy investment considering flexibility and uncertainty," Energy Economics, Elsevier, vol. 108(C).
  782. Zaglauer, Katharina & Bauer, Daniel, 2008. "Risk-neutral valuation of participating life insurance contracts in a stochastic interest rate environment," Insurance: Mathematics and Economics, Elsevier, vol. 43(1), pages 29-40, August.
  783. Chung, San-Lin & Shih, Pai-Ta, 2009. "Static hedging and pricing American options," Journal of Banking & Finance, Elsevier, vol. 33(11), pages 2140-2149, November.
  784. Brian Huge & Antoine Savine, 2020. "Differential Machine Learning," Papers 2005.02347, arXiv.org, revised Sep 2020.
  785. Volodymyr Babich, 2006. "Vulnerable options in supply chains: Effects of supplier competition," Naval Research Logistics (NRL), John Wiley & Sons, vol. 53(7), pages 656-673, October.
  786. Deswal, Komal & Kumar, Devendra, 2022. "Rannacher time-marching with orthogonal spline collocation method for retrieving the discontinuous behavior of hedging parameters," Applied Mathematics and Computation, Elsevier, vol. 427(C).
  787. Yang, Changhui & Fu, Yuting & He, Lijun & Jiang, Qi & Cui, Yangyu, 2024. "Real options analysis for regional investment decisions of household PV-ESS in China," Energy, Elsevier, vol. 293(C).
  788. Rodriguez, Sergio & Ludkovski, Michael, 2020. "Probabilistic bisection with spatial metamodels," European Journal of Operational Research, Elsevier, vol. 286(2), pages 588-603.
  789. 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.
  790. Masaaki Fujii & Akihiko Takahashi, 2014. "Optimal Hedging for Fund & Insurance Managers with Partially Observable Investment Flows," CARF F-Series CARF-F-348, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
  791. Victor Chang, 2020. "Presenting Cloud Business Performance for Manufacturing Organizations," Information Systems Frontiers, Springer, vol. 22(1), pages 59-75, February.
  792. Chen, Siyuan & Zhang, Qi & Wang, Ge & Zhu, Lijing & Li, Yan, 2018. "Investment strategy for underground gas storage facilities based on real option model considering gas market reform in China," Energy Economics, Elsevier, vol. 70(C), pages 132-142.
  793. Sérgio C. Bezerra & Alberto Ohashi & Francesco Russo & Francys Souza, 2020. "Discrete-type Approximations for Non-Markovian Optimal Stopping Problems: Part II," Methodology and Computing in Applied Probability, Springer, vol. 22(3), pages 1221-1255, September.
  794. Doobae Jun & Hyejin Ku, 2013. "Valuation of American partial barrier options," Review of Derivatives Research, Springer, vol. 16(2), pages 167-191, July.
  795. Fedorov, Semyon & Hagspiel, Verena & Rogstad, Richard W.H. & Haseldonckx, Sophie & Haugsgjerd, Johannes H. & Rønning, Anders, 2024. "Evaluation of tieback developments for marginal oil fields with timing flexibility," Energy Economics, Elsevier, vol. 131(C).
  796. Floryszczak, Anthony & Le Courtois, Olivier & Majri, Mohamed, 2016. "Inside the Solvency 2 Black Box: Net Asset Values and Solvency Capital Requirements with a least-squares Monte-Carlo approach," Insurance: Mathematics and Economics, Elsevier, vol. 71(C), pages 15-26.
  797. Denis Belomestny & John Schoenmakers, 2021. "From optimal martingales to randomized dual optimal stopping," Papers 2102.01533, arXiv.org.
  798. Anna Battauz & Francesco Rotondi, 2022. "American options and stochastic interest rates," Computational Management Science, Springer, vol. 19(4), pages 567-604, October.
  799. Hatem Ben-Ameur & Rim Chérif & Bruno Rémillard, 2016. "American-style options in jump-diffusion models: estimation and evaluation," Quantitative Finance, Taylor & Francis Journals, vol. 16(8), pages 1313-1324, August.
  800. Bernard Lapeyre & J'er^ome Lelong, 2019. "Neural network regression for Bermudan option pricing," Papers 1907.06474, arXiv.org, revised Dec 2020.
  801. Bendera, Christian & Moseler, Thilo, 2008. "Importance sampling for backward SDEs," CoFE Discussion Papers 08/11, University of Konstanz, Center of Finance and Econometrics (CoFE).
  802. Yingming Ge & Lingfei Li & Gongqiu Zhang, 2022. "A Fourier Transform Method for Solving Backward Stochastic Differential Equations," Methodology and Computing in Applied Probability, Springer, vol. 24(1), pages 385-412, March.
  803. Ihli, Hanna Julia & Musshoff, Oliver, 2013. "Understanding the Investment Behavior of Ugandan Smallholder Farmers: An Experimental Analysis," 2013 Annual Meeting, August 4-6, 2013, Washington, D.C. 150331, Agricultural and Applied Economics Association.
  804. Samuel N. Cohen & Derek Snow & Lukasz Szpruch, 2021. "Black-box model risk in finance," Papers 2102.04757, arXiv.org.
  805. Kevin Aretz & Ming-Tsung Lin & Ser-Huang Poon, 2023. "Moneyness, Underlying Asset Volatility, and the Cross-Section of Option Returns," Review of Finance, European Finance Association, vol. 27(1), pages 289-323.
  806. Jing Zhao & Hoi Ying Wong, 2012. "A closed-form solution to American options under general diffusion processes," Quantitative Finance, Taylor & Francis Journals, vol. 12(5), pages 725-737, July.
  807. Marcel T. P. Van Dijk & Cornelis S. L. De Graaf & Cornelis W. Oosterlee, 2018. "Between ℙ and ℚ: The ℙ ℚ Measure for Pricing in Asset Liability Management," JRFM, MDPI, vol. 11(4), pages 1-23, October.
  808. Stentoft, Lars, 2011. "American option pricing with discrete and continuous time models: An empirical comparison," Journal of Empirical Finance, Elsevier, vol. 18(5), pages 880-902.
  809. Calypso Herrera & Louis Paulot, 2014. "Parallel American Monte Carlo," Papers 1404.1180, arXiv.org.
  810. J'er^ome Lelong, 2019. "Pricing path-dependent Bermudan options using Wiener chaos expansion: an embarrassingly parallel approach," Papers 1901.05672, arXiv.org, revised Jul 2020.
  811. Zhang, M.M. & Zhou, P. & Zhou, D.Q., 2016. "A real options model for renewable energy investment with application to solar photovoltaic power generation in China," Energy Economics, Elsevier, vol. 59(C), pages 213-226.
  812. John Schoenmakers, 2012. "A pure martingale dual for multiple stopping," Finance and Stochastics, Springer, vol. 16(2), pages 319-334, April.
  813. Tomonori Nakatsu, 2017. "An Integration by Parts Type Formula for Stopping Times and its Application," Methodology and Computing in Applied Probability, Springer, vol. 19(3), pages 751-773, September.
  814. Simon Scheidegger & Adrien Treccani, 2021. "Pricing American Options under High-Dimensional Models with Recursive Adaptive Sparse Expectations [Telling from Discrete Data Whether the Underlying Continuous-Time Model Is a Diffusion]," Journal of Financial Econometrics, Oxford University Press, vol. 19(2), pages 258-290.
  815. Oleksandr Zhylyevskyy, 2005. "Pricing American-style Derivatives under the Heston Model Dynamics: A Fast Fourier Transformation in the Geske–Johnson Scheme," Computing in Economics and Finance 2005 187, Society for Computational Economics.
  816. Suvankar Ghosh & O. Felix Offodile, 2016. "A real options model of phased migration to cellular manufacturing," International Journal of Production Research, Taylor & Francis Journals, vol. 54(3), pages 894-906, February.
  817. Secomandi, Nicola & Seppi, Duane J., 2014. "Real Options and Merchant Operations of Energy and Other Commodities," Foundations and Trends(R) in Technology, Information and Operations Management, now publishers, vol. 6(3-4), pages 161-331, July.
  818. Mingming Zhang & Dequn Zhou & Hao Ding & Jingliang Jin, 2016. "Biomass Power Generation Investment in China: A Real Options Evaluation," Sustainability, MDPI, vol. 8(6), pages 1-22, June.
  819. Yangang Chen & Justin W. L. Wan, 2019. "Deep Neural Network Framework Based on Backward Stochastic Differential Equations for Pricing and Hedging American Options in High Dimensions," Papers 1909.11532, arXiv.org.
  820. Garcia Fronti, Javier, 2015. "Modelo estocástico para la valuación de una inversión nanomédica [Nanomedical Stochastic Investment Valuation]," MPRA Paper 63948, University Library of Munich, Germany.
  821. Ben Hambly & Renyuan Xu & Huining Yang, 2023. "Recent advances in reinforcement learning in finance," Mathematical Finance, Wiley Blackwell, vol. 33(3), pages 437-503, July.
  822. A. Cassagnes & Y. Chen & H. Ohashi, 2014. "Heterogeneous Computation Of Rainbow Option Prices Using Fourier Cosine Series Expansion Under A Mixed Cpu–Gpu Computation Framework," Intelligent Systems in Accounting, Finance and Management, John Wiley & Sons, Ltd., vol. 21(2), pages 91-104, April.
  823. 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.
  824. Zhu, Lei & Li, Li & Su, Bin, 2021. "The price-bidding strategy for investors in a renewable auction: An option games–based study," Energy Economics, Elsevier, vol. 100(C).
  825. Masaaki Fujii & Akihiko Takahashi, 2014. "Optimal Hedging for Fund & Insurance Managers with Partially Observable Investment Flows," Papers 1401.2314, arXiv.org, revised Jul 2014.
  826. De Jong Cyriel, 2006. "The Nature of Power Spikes: A Regime-Switch Approach," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 10(3), pages 1-28, September.
  827. Lucio Fernandez‐Arjona & Damir Filipović, 2022. "A machine learning approach to portfolio pricing and risk management for high‐dimensional problems," Mathematical Finance, Wiley Blackwell, vol. 32(4), pages 982-1019, October.
  828. Julien Vedani & Laurent Devineau, 2012. "Solvency assessment within the ORSA framework: issues and quantitative methodologies," Papers 1210.6000, arXiv.org, revised Oct 2012.
  829. Luiz E. Brandão & James S. Dyer & Warren J. Hahn, 2005. "Response to Comments on Brandão et al. (2005)," Decision Analysis, INFORMS, vol. 2(2), pages 103-109, June.
  830. Benoit Pochard & Jean-Philippe Bouchaud, 2003. "Option pricing and hedging with minimum expected shortfall," Science & Finance (CFM) working paper archive 500029, Science & Finance, Capital Fund Management.
  831. Christian Fries & Joerg Kampen, 2010. "Global existence, regularity and a probabilistic scheme for a class of ultraparabolic Cauchy problems," Papers 1002.5031, arXiv.org, revised Oct 2012.
  832. Lokman A. Abbas-Turki & Ioannis Karatzas & Qinghua Li, 2014. "Impulse Control of a Diffusion with a Change Point," Papers 1404.1761, arXiv.org.
  833. A. Sadoghi & J. Vecer, 2015. "Optimum Liquidation Problem Associated with the Poisson Cluster Process," Papers 1507.06514, arXiv.org, revised Dec 2015.
  834. Roberto Andreotti Bodra & Afonso De Campos Pint, 2014. "Modelo De Volatilidade Estocástica Com Saltos Aplicado A Commodities Agrícolas," Anais do XLI Encontro Nacional de Economia [Proceedings of the 41st Brazilian Economics Meeting] 142, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics].
  835. Yen Thuan Trinh & Bernard Hanzon, 2022. "Option Pricing and CVA Calculations using the Monte Carlo-Tree (MC-Tree) Method," Papers 2202.00785, arXiv.org.
  836. Gordon Sick & Andrea Gamba, 2010. "Some Important Issues Involving Real Options: An Overview," Multinational Finance Journal, Multinational Finance Journal, vol. 14(1-2), pages 73-123, March-Jun.
  837. Ian Garrett & Adnan Gazi, 2024. "Early exercise, implied volatility spread and future stock return: Jumps bind them all," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 44(5), pages 720-743, May.
  838. Johan Auster & Ludovic Mathys & Fabio Maeder, 2021. "JDOI Variance Reduction Method and the Pricing of American-Style Options," Papers 2104.01365, arXiv.org, revised May 2021.
  839. Patrick Henaff & Ismail Laachir & Francesco Russo, 2013. "Gas storage valuation and hedging. A quantification of the model risk," Papers 1312.3789, arXiv.org.
  840. Idris Kharroubi & Nicolas Langrené & Huyên Pham, 2013. "A numerical algorithm for fully nonlinear HJB equations: an approach by control randomization," Working Papers hal-00905899, HAL.
  841. Kang, Sang Baum & Létourneau, Pascal, 2016. "Investors’ reaction to the government credibility problem: A real option analysis of emission permit policy risk," Energy Economics, Elsevier, vol. 54(C), pages 96-107.
  842. Giovanni Mottola, 2014. "A stochastic switching control model arising in general OTC contracts with contingent CSA in presence of CVA, collateral and funding," Papers 1412.1469, arXiv.org.
  843. Yan Yan & Zhewen Liao & Xiaosong Chen, 2018. "Fixed-income securities: bibliometric review with network analysis," Scientometrics, Springer;Akadémiai Kiadó, vol. 116(3), pages 1615-1640, September.
  844. Alessandro Balata & Michael Ludkovski & Aditya Maheshwari & Jan Palczewski, 2019. "Statistical Learning for Probability-Constrained Stochastic Optimal Control," Papers 1905.00107, arXiv.org, revised Aug 2020.
  845. Ludovic Gouden`ege & Andrea Molent & Antonino Zanette, 2019. "Variance Reduction Applied to Machine Learning for Pricing Bermudan/American Options in High Dimension," Papers 1903.11275, arXiv.org, revised Dec 2019.
  846. Xiaochuan Pang & Shushang Zhu & Xueting Cui & Jiali Ma, 2022. "Systemic Risk of Optioned Portfolios: Controllability and Optimization," Papers 2209.04685, arXiv.org.
  847. T. van der Zwaard & L. A. Grzelak & C. W. Oosterlee, 2024. "On the Hull-White model with volatility smile for Valuation Adjustments," Papers 2403.14841, arXiv.org.
  848. Denis Belomestny & Maxim Kaledin & John Schoenmakers, 2020. "Semitractability of optimal stopping problems via a weighted stochastic mesh algorithm," Mathematical Finance, Wiley Blackwell, vol. 30(4), pages 1591-1616, October.
  849. Magnus Grønnegaard Frandsen & Tobias Cramer Pedersen & Rolf Poulsen, 2022. "Delta force: option pricing with differential machine learning," Digital Finance, Springer, vol. 4(1), pages 1-15, March.
  850. Jian-Lei Mo & Lei Zhu, 2014. "Using Floor Price Mechanisms to Promote Carbon Capture and Storage (Ccs) Investment and Co2 Abatement," Energy & Environment, , vol. 25(3-4), pages 687-707, April.
  851. 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.
  852. Ali Nasir & Ambreen Khursheed & Kazim Ali & Faisal Mustafa, 2021. "A Markov Decision Process Model for Optimal Trade of Options Using Statistical Data," Computational Economics, Springer;Society for Computational Economics, vol. 58(2), pages 327-346, August.
  853. Wenbin Hu & Junzi Zhou, 2017. "Backward simulation methods for pricing American options under the CIR process," Quantitative Finance, Taylor & Francis Journals, vol. 17(11), pages 1683-1695, November.
  854. 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.
  855. Katarzyna Toporek, 2012. "Simple is better. Empirical comparison of American option valuation methods," Ekonomia journal, Faculty of Economic Sciences, University of Warsaw, vol. 29.
  856. Christian Bayer & Martin Eigel & Leon Sallandt & Philipp Trunschke, 2021. "Pricing high-dimensional Bermudan options with hierarchical tensor formats," Papers 2103.01934, arXiv.org, revised Mar 2021.
  857. Mark S. Joshi, 2016. "Analysing the bias in the primal-dual upper bound method for early exercisable derivatives: bounds, estimation and removal," Quantitative Finance, Taylor & Francis Journals, vol. 16(4), pages 519-533, April.
  858. Goudenège, Ludovic & Molent, Andrea & Zanette, Antonino, 2016. "Pricing and hedging GLWB in the Heston and in the Black–Scholes with stochastic interest rate models," Insurance: Mathematics and Economics, Elsevier, vol. 70(C), pages 38-57.
  859. Pierre del Moral & Peng Hu & Nadia Oudjane & Bruno Rémillard, 2010. "On the Robustness of the Snell envelope," Working Papers inria-00487103, HAL.
  860. Reilly Pickard & Finn Wredenhagen & Julio DeJesus & Mario Schlener & Yuri Lawryshyn, 2024. "Hedging American Put Options with Deep Reinforcement Learning," Papers 2405.06774, arXiv.org.
  861. Bradley Sturt, 2021. "A nonparametric algorithm for optimal stopping based on robust optimization," Papers 2103.03300, arXiv.org, revised Mar 2023.
  862. T. van der Zwaard & L. A. Grzelak & C. W. Oosterlee, 2022. "Relevance of Wrong-Way Risk in Funding Valuation Adjustments," Papers 2204.02680, arXiv.org, revised Jun 2022.
  863. Zbigniew Palmowski & Tomasz Serafin, 2020. "Note on simulation pricing of $\pi$-options," Papers 2007.02076, arXiv.org, revised Aug 2020.
  864. David Farahany & Kenneth Jackson & Sebastian Jaimungal, 2018. "Mixing LSMC and PDE Methods to Price Bermudan Options," Papers 1803.07216, arXiv.org, revised May 2020.
  865. Juri Hinz, 2021. "On Approximate Solutions for Partially Observable Decision Problems," Research Paper Series 421, Quantitative Finance Research Centre, University of Technology, Sydney.
  866. Fei Cong & Cornelis W. Oosterlee, 2017. "Accurate and Robust Numerical Methods for the Dynamic Portfolio Management Problem," Computational Economics, Springer;Society for Computational Economics, vol. 49(3), pages 433-458, March.
  867. Francesco Rotondi, 2019. "American Options on High Dividend Securities: A Numerical Investigation," Risks, MDPI, vol. 7(2), pages 1-20, May.
  868. Denis Belomestny & John Schoenmakers & Fabian Dickmann, 2013. "Multilevel dual approach for pricing American style derivatives," Finance and Stochastics, Springer, vol. 17(4), pages 717-742, October.
  869. Nadarajah, Selvaprabu & Margot, François & Secomandi, Nicola, 2017. "Comparison of least squares Monte Carlo methods with applications to energy real options," European Journal of Operational Research, Elsevier, vol. 256(1), pages 196-204.
  870. Zhu, Lei & Fan, Ying, 2011. "A real options–based CCS investment evaluation model: Case study of China’s power generation sector," Applied Energy, Elsevier, vol. 88(12), pages 4320-4333.
  871. Michael A. Kouritzin & Anne Mackay, 2020. "Branching Particle Pricers With Heston Examples," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 23(01), pages 1-29, February.
  872. Alan White, 2018. "Pricing Credit Default Swap Subject to Counterparty Risk and Collateralization," Working Papers hal-01739310, HAL.
  873. Yevgeny Goncharov, 2009. "Computing the endogenous mortgage rate without iterations," Quantitative Finance, Taylor & Francis Journals, vol. 9(4), pages 429-438.
  874. Piergiacomo Sabino, 2020. "Exact Simulation of Variance Gamma related OU processes: Application to the Pricing of Energy Derivatives," Papers 2004.06786, arXiv.org.
  875. Nicola Bruti Liberati & Eckhard Platen, 2004. "On the Efficiency of Simplified Weak Taylor Schemes for Monte Carlo Simulation in Finance," Research Paper Series 114, Quantitative Finance Research Centre, University of Technology, Sydney.
  876. Alan Bain & Matthieu Mariapragassam & Christoph Reisinger, 2019. "Calibration of Local-Stochastic and Path-Dependent Volatility Models to Vanilla and No-Touch Options," Papers 1911.00877, arXiv.org.
  877. Kourouvakalis, Stylianos, 2008. "Méthodes numériques pour la valorisation d'options swings et autres problèmes sur les matières premières," Economics Thesis from University Paris Dauphine, Paris Dauphine University, number 123456789/116 edited by Geman, Hélyette.
  878. Zoran Stoiljkovic, 2023. "Applying Reinforcement Learning to Option Pricing and Hedging," Papers 2310.04336, arXiv.org.
  879. Ronald Hochreiter & Georg Pflug, 2006. "Polynomial Algorithms for Pricing Path-Dependent Interest Rate Instruments," Computational Economics, Springer;Society for Computational Economics, vol. 28(3), pages 291-309, October.
  880. Ludovic Goudenege & Andrea Molent & Antonino Zanette, 2015. "Pricing and Hedging GLWB in the Heston and in the Black-Scholes with Stochastic Interest Rate Models," Papers 1509.02686, arXiv.org.
  881. Peter Tankov & Laura Tinsi, 2021. "Decision making with dynamic probabilistic forecasts," Papers 2106.16047, arXiv.org.
  882. Tian‐Shyr Dai & Chen‐Chiang Fan & Liang‐Chih Liu & Chuan‐Ju Wang & Jr‐Yan Wang, 2022. "A stochastic‐volatility equity‐price tree for pricing convertible bonds with endogenous firm values and default risks determined by the first‐passage default model," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(12), pages 2103-2134, December.
  883. Purba Banerjee & Vasudeva Murthy & Shashi Jain, 2021. "Method of lines for valuation and sensitivities of Bermudan options," Papers 2112.01287, arXiv.org.
  884. Lei Zhu & Xing Yao & Xian Zhang, 2020. "Evaluation of cooperative mitigation: captured carbon dioxide for enhanced oil recovery," Mitigation and Adaptation Strategies for Global Change, Springer, vol. 25(7), pages 1261-1285, October.
  885. Feng, Ben Mingbin & Li, Johnny Siu-Hang & Zhou, Kenneth Q., 2022. "Green nested simulation via likelihood ratio: Applications to longevity risk management," Insurance: Mathematics and Economics, Elsevier, vol. 106(C), pages 285-301.
  886. Sascha Desmettre & Ralf Korn & Javier Alejandro Varela & Norbert Wehn, 2016. "Nested MC-Based Risk Measurement of Complex Portfolios: Acceleration and Energy Efficiency," Risks, MDPI, vol. 4(4), pages 1-35, October.
  887. Steven Kou & Xianhua Peng & Xingbo Xu, 2016. "EM Algorithm and Stochastic Control in Economics," Papers 1611.01767, arXiv.org.
  888. Valentin Tissot-Daguette, 2023. "Occupied Processes: Going with the Flow," Papers 2311.07936, arXiv.org, revised Dec 2023.
  889. 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.
  890. Harvey J. Stein, 2016. "Fixing Risk Neutral Risk Measures," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 19(03), pages 1-28, May.
  891. Eickholt, Mathias & Entrop, Oliver & Wilkens, Marco, 2018. "What makes individual investors exercise early? Empirical evidence from non-tradable fixed-income products," Journal of Banking & Finance, Elsevier, vol. 97(C), pages 318-334.
  892. Neil Kichler & Sher Afghan & Uwe Naumann, 2023. "Towards Sobolev Pruning," Papers 2312.03510, arXiv.org, revised Dec 2023.
  893. Dimakopoulou, Andriana G. & Pramatari, Katerina C. & Tsekrekos, Andrianos E., 2014. "Applying real options to IT investment evaluation: The case of radio frequency identification (RFID) technology in the supply chain," International Journal of Production Economics, Elsevier, vol. 156(C), pages 191-207.
IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.