Search Results - "Longstaff-Schwartz algorithm"
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1
Authors: et al.
Contributors: et al.
Source: Journal of Stochastic Analysis. 6
Subject Terms: Amerikanische Option, Option pricing, Probability (math.PR), Computational Finance (q-fin.CP), Stochastic hybrid system, FOS: Economics and business, Longstaff-Schwartz algorithm, Quantitative Finance - Computational Finance, Stochastisches Hybridsystem, Optionsbewertung, Piecewise diffusion Markov processes, FOS: Mathematics, Longstaff-Schwartz-Algorithmus, American option, Pricing of Securities (q-fin.PR), Stückweise diffusive Markov-Prozesse, Quantitative Finance - Pricing of Securities, Mathematics - Probability
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2
Authors: et al.
Source: SIAM Journal on Financial Mathematics. 14:383-406
Subject Terms: ddc:510, FOS: Computer and information sciences, article, Bermudan option, 91G60, Computational Finance (q-fin.CP), Numerical Analysis (math.NA), 91G60 (Primary) 62J02, 15A69 (Secondary), 01 natural sciences, Wiener chaos expansion, 15A69, Computational Engineering, Finance, and Science (cs.CE), FOS: Economics and business, Longstaff--Schwartz algorithm, Quantitative Finance - Computational Finance, FOS: Mathematics, 62J02, Mathematics - Numerical Analysis, 0101 mathematics, Bermudan option -- tensor-train -- Longstaff--Schwartz algorithm -- Wiener chaos expansion, Computer Science - Computational Engineering, Finance, and Science, tensor-train
Access URL: http://arxiv.org/abs/2103.01934
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3
Authors: et al.
Subject Terms: article, ddc:510, 91G60, 62J02, 15A69, Bermudan option -- tensor-train -- Longstaff--Schwartz algorithm -- Wiener chaos expansion
Availability: https://doi.org/10.20347/WIAS.PREPRINT.2821
https://archive.wias-berlin.de/receive/wias_mods_00007487
https://archive.wias-berlin.de/servlets/MCRFileNodeServlet/wias_derivate_00004116/wias_preprints_2821.pdf
https://www.wias-berlin.de/publications/wias-publ/run.jsp?template=abstract&type=Preprint&year=2021&number=2821 -
4
Authors: Hu, Chenshan
Source: Arts & Sciences Electronic Theses and Dissertations
Subject Terms: Optimal Stopping Problems, Longstaff Schwartz Algorithm, Least Square Policy Iteration
File Description: application/pdf
Relation: https://openscholarship.wustl.edu/art_sci_etds/2035; https://openscholarship.wustl.edu/context/art_sci_etds/article/3085/viewcontent/Thesis.pdf
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5
Authors:
Contributors:
Subject Terms: Option pricing, American option, Longstaff-Schwartz algorithm, statistical learning
File Description: VI, 57 S.
Relation: https://doi.org/10.34726/hss.2015.27818; http://hdl.handle.net/20.500.12708/3153; AC12202994; urn:nbn:at:at-ubtuw:1-79287
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6
Authors:
Contributors:
Subject Terms: Monte Carlo, ameriška opcija, Brownovo gibanje, stohastično drevo, stohastična mreža, Longstaff-Schwartzev algoritem, american option, Brownian motion, stochastic tree, stochastic mesh, Longstaff-Schwartz algorithm, info:eu-repo/classification/udc/519.21
File Description: application/pdf
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7
Authors:
Contributors:
Subject Terms: finančna matematika, ameriške opcije, metode Monte Carlo, Hilbertov prostor, metoda najmanjših kvadratov, Longstaff-Schwartzev algoritem, mathematics, American options, Monte Carlo methods, least-square method, Hilbert space, Longstaff-Schwartz algorithm, info:eu-repo/classification/udc/519.8
File Description: application/pdf
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8
Authors:
Contributors:
Subject Terms: Longstaff-Schwartz algorithm, stohastično drevo, stochastic tree, stochastic mesh, stohastična mreža, ameriška opcija, Brownovo gibanje, american option, Longstaff-Schwartzev algoritem, Brownian motion, Monte Carlo
File Description: application/pdf
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9
Authors:
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Subject Terms: metode Monte Carlo, Longstaff-Schwartz algorithm, Hilbertov prostor, finančna matematika, ameriške opcije, metoda najmanjših kvadratov, mathematics, Hilbert space, Longstaff-Schwartzev algoritem, Monte Carlo methods, American options, least-square method
File Description: application/pdf
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