Generic improvements to least squares monte carlo methods with applications to optimal stopping problems

European Journal of Operational Research ◽

10.1016/j.ejor.2021.08.016 ◽

2021 ◽

Author(s):

Wei Wei ◽

Dan Zhu

Keyword(s):

Monte Carlo ◽

Least Squares ◽

Optimal Stopping ◽

Monte Carlo Methods ◽

Least Squares Monte Carlo ◽

Optimal Stopping Problems

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Least-squares Monte-Carlo methods for optimal stopping investment under CEV models

Quantitative Finance ◽

10.1080/14697688.2020.1736325 ◽

2020 ◽

Vol 20 (7) ◽

pp. 1199-1211

Author(s):

Jingtang Ma ◽

Zhengyang Lu ◽

Wenyuan Li ◽

Jie Xing

Keyword(s):

Monte Carlo ◽

Least Squares ◽

Optimal Stopping ◽

Monte Carlo Methods ◽

Least Squares Monte Carlo

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Comparison of Least Squares Monte Carlo Methods with Applications to Energy Real Options

SSRN Electronic Journal ◽

10.2139/ssrn.2486104 ◽

2014 ◽

Author(s):

Selvaprabu Nadarajah ◽

Francois Margot ◽

Nicola Secomandi

Keyword(s):

Monte Carlo ◽

Real Options ◽

Least Squares ◽

Monte Carlo Methods ◽

Least Squares Monte Carlo

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Evaluation of gas sales agreements with indexation using tree and least-squares Monte Carlo methods on graphics processing units

Quantitative Finance ◽

10.1080/14697688.2020.1775283 ◽

2020 ◽

pp. 1-22

Author(s):

W. Dong ◽

B. Kang

Keyword(s):

Monte Carlo ◽

Least Squares ◽

Monte Carlo Methods ◽

Graphics Processing Units ◽

Least Squares Monte Carlo ◽

Graphics Processing

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Comparison of least squares Monte Carlo methods with applications to energy real options

European Journal of Operational Research ◽

10.1016/j.ejor.2016.06.020 ◽

2017 ◽

Vol 256 (1) ◽

pp. 196-204 ◽

Author(s):

Selvaprabu Nadarajah ◽

François Margot ◽

Nicola Secomandi

Keyword(s):

Monte Carlo ◽

Real Options ◽

Least Squares ◽

Monte Carlo Methods ◽

Least Squares Monte Carlo

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

SSRN Electronic Journal ◽

10.2139/ssrn.2666187 ◽

2015 ◽

Author(s):

Selvaprabu Nadarajah ◽

Nicola Secomandi

Keyword(s):

Monte Carlo ◽

Least Squares ◽

Real Option ◽

Least Squares Monte Carlo

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

SSRN Electronic Journal ◽

10.2139/ssrn.2696968 ◽

2016 ◽

Author(s):

Rongju Zhang ◽

Nicolas Langrenn ◽

Yu Tian ◽

Zili Zhu ◽

Fima Klebaner ◽

...

Keyword(s):

Monte Carlo Simulation ◽

Monte Carlo ◽

Least Squares ◽

Portfolio Optimisation ◽

Simulation Approach ◽

Least Squares Monte Carlo ◽

Dynamic Portfolio

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

SSRN Electronic Journal ◽

10.2139/ssrn.2842631 ◽

2016 ◽

Author(s):

Luca Capriotti ◽

Yupeng Jiang

Keyword(s):

Monte Carlo ◽

Least Squares ◽

Least Squares Monte Carlo

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

SSRN Electronic Journal ◽

10.2139/ssrn.3232687 ◽

2018 ◽

Author(s):

Selvaprabu Nadarajah ◽

Nicola Secomandi

Keyword(s):

Monte Carlo ◽

Linear Programming ◽

Least Squares ◽

Error Bounds ◽

Real Option ◽

Least Squares Monte Carlo ◽

Programming Error ◽

Approximate Linear Programming

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

SSRN Electronic Journal ◽

10.2139/ssrn.2735477 ◽

2015 ◽

Author(s):

Phuc T. Phan

Keyword(s):

Monte Carlo ◽

Monte Carlo Method ◽

Least Squares ◽

Put Options ◽

Least Squares Monte Carlo ◽

Quasi Monte Carlo ◽

American Put Options ◽

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

SSRN Electronic Journal ◽

10.2139/ssrn.1153525 ◽

2008 ◽

Author(s):

Giuseppe Alesii

Keyword(s):

Monte Carlo ◽

Real Options ◽

Least Squares ◽

Options Pricing ◽

Pricing Model ◽

Least Squares Monte Carlo

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