Pricing path-dependent Bermudan options using Wiener chaos expansion: an embarrassingly parallel approach

The Journal of Computational Finance ◽

10.21314/jcf.2020.394 ◽

2020 ◽

Vol 24 (2) ◽

Author(s):

Jerome Lelong

Keyword(s):

Chaos Expansion ◽

Wiener Chaos ◽

Bermudan Options ◽

Path Dependent ◽

Wiener Chaos Expansion

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Sound fluctuation in a non-Gaussian random field: A wavelet-based Wiener chaos expansion approach

The Journal of the Acoustical Society of America ◽

10.1121/1.2942618 ◽

2007 ◽

Vol 122 (5) ◽

pp. 2975

Author(s):

Hao Xing ◽

Li Ma

Keyword(s):

Random Field ◽

Gaussian Random Field ◽

Chaos Expansion ◽

Wiener Chaos ◽

Non Gaussian ◽

Wiener Chaos Expansion

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Simulation of BSDEs with jumps by Wiener Chaos expansion

Stochastic Processes and their Applications ◽

10.1016/j.spa.2016.01.006 ◽

2016 ◽

Vol 126 (7) ◽

pp. 2123-2162 ◽

Author(s):

Christel Geiss ◽

Céline Labart

Keyword(s):

Chaos Expansion ◽

Wiener Chaos ◽

Wiener Chaos Expansion

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Broadband near-field radiative thermal emitter/absorber based on hyperbolic metamaterials: Direct numerical simulation by the Wiener chaos expansion method

Physical Review B ◽

10.1103/physrevb.87.115403 ◽

2013 ◽

Vol 87 (11) ◽

Author(s):

Baoan Liu ◽

Sheng Shen

Keyword(s):

Numerical Simulation ◽

Direct Numerical Simulation ◽

Expansion Method ◽

Chaos Expansion ◽

Hyperbolic Metamaterials ◽

Wiener Chaos ◽

Thermal Emitter ◽

Wiener Chaos Expansion

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Numerical solutions of Burgers’ equation with random initial conditions using the Wiener chaos expansion and the Lax–Wendroff scheme

Applied Mathematics Letters ◽

10.1016/j.aml.2006.07.001 ◽

2007 ◽

Vol 20 (5) ◽

pp. 545-550 ◽

Author(s):

Hongjoong Kim

Keyword(s):

Numerical Solutions ◽

Burgers Equation ◽

Initial Conditions ◽

Chaos Expansion ◽

Wiener Chaos ◽

Random Initial Conditions ◽

Wiener Chaos Expansion

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Wiener Chaos Expansion and Simulation of Electromagnetic Wave Propagation Excited by a Spatially Incoherent Source

Multiscale Modeling and Simulation ◽

10.1137/090749219 ◽

2010 ◽

Vol 8 (2) ◽

pp. 591-604 ◽

Author(s):

Majid Badieirostami ◽

Ali Adibi ◽

Hao-Min Zhou ◽

Shui-Nee Chow

Keyword(s):

Wave Propagation ◽

Electromagnetic Wave ◽

Electromagnetic Wave Propagation ◽

Chaos Expansion ◽

Wiener Chaos ◽

Incoherent Source ◽

Wiener Chaos Expansion

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Kolmogorov distance for the central limit theorems of the Wiener chaos expansion and applications

Journal of the Korean Statistical Society ◽

10.1016/j.jkss.2015.03.003 ◽

2015 ◽

Vol 44 (4) ◽

pp. 565-576 ◽

Author(s):

Yoon Tae Kim ◽

Hyun Suk Park

Keyword(s):

Central Limit ◽

Limit Theorems ◽

Central Limit Theorems ◽

Chaos Expansion ◽

Kolmogorov Distance ◽

Wiener Chaos ◽

Wiener Chaos Expansion

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Erratum to “Simulation of BSDEs with jumps by Wiener Chaos expansion” [Stochastic Process. Appl. 126 (2016) 2123–2162]

Stochastic Processes and their Applications ◽

10.1016/j.spa.2016.12.004 ◽

2017 ◽

Vol 127 (3) ◽

pp. 1042-1044 ◽

Author(s):

Christel Geiss ◽

Céline Labart

Keyword(s):

Stochastic Process ◽

Chaos Expansion ◽

Wiener Chaos ◽

Wiener Chaos Expansion

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Dual Pricing of American Options by Wiener Chaos Expansion

SIAM Journal on Financial Mathematics ◽

10.1137/16m1102161 ◽

2018 ◽

Vol 9 (2) ◽

pp. 493-519 ◽

Author(s):

Jérôme Lelong

Keyword(s):

American Options ◽

Chaos Expansion ◽

Wiener Chaos ◽

Wiener Chaos Expansion

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Fast and Efficient Simulation of Diffuse Light using Wiener Chaos Expansion and its Applications for Design of Photonic Crystal Spectrometers

2007 Conference on Lasers and Electro-Optics (CLEO) ◽

10.1109/cleo.2007.4452906 ◽

2007 ◽

Author(s):

Majid Badieirostami ◽

Ali Adibi ◽

Hao-Min Zhou ◽

Shui-Nee Chow

Keyword(s):

Photonic Crystal ◽

Diffuse Light ◽

Chaos Expansion ◽

Wiener Chaos ◽

Efficient Simulation ◽

Wiener Chaos Expansion

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Implementation of a Wiener Chaos Expansion Method for the Numerical Solution of the Stochastic Generalized Kuramoto-Sivashinsky Equation Driven by Brownian Motion Forcing

Journal of Advances in Applied Mathematics ◽

10.22606/jaam.2019.44001 ◽

2019 ◽

Vol 4 (4) ◽

Author(s):

Victor Nijimbere ◽

Keyword(s):

Brownian Motion ◽

Numerical Solution ◽

Expansion Method ◽

Chaos Expansion ◽

Wiener Chaos ◽

Sivashinsky Equation ◽

Wiener Chaos Expansion

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