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Pricing Bounds for Volatility Derivatives via Duality and Least Squares Monte Carlo
Journal of Optimization Theory and Applications
◽
10.1007/s10957-017-1168-2
◽
2017
◽
Vol 179
(2)
◽
pp. 598-617
◽
Cited By ~ 2
Author(s):
Ivan Guo
◽
Gregoire Loeper
Keyword(s):
Monte Carlo
◽
Least Squares
◽
Least Squares Monte Carlo
◽
Volatility Derivatives
◽
Pricing Bounds
Download Full-text
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Regress-Later Least Squares Monte Carlo: Duality Perspective and Energy Real Option Application
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Dynamic Portfolio Optimisation with Intermediate Costs: A Least-Squares Monte Carlo Simulation Approach
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...
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AAD and Least Squares Monte Carlo: Fast Bermudan-Style Options and XVA Greeks
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◽
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◽
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Least Squares Monte Carlo and Approximate Linear Programming: Error Bounds and Energy Real Option Application
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Least-Squares Monte Carlo and Quasi Monte Carlo Method in Pricing American Put Options Using Matlab
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◽
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◽
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A Robustness Analysis of Least-Squares Monte Carlo for R&D Real Options Valuation
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◽
10.1007/978-3-319-05014-0_6
◽
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◽
pp. 27-30
Author(s):
Marta Biancardi
◽
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Mathematical and Statistical Methods for Actuarial Sciences and Finance
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10.1007/978-3-319-02499-8_26
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