Weighted Monte Carlo with Least Squares and Randomized Extended Kaczmarz for Option Pricing

SSRN Electronic Journal ◽

10.2139/ssrn.3471164 ◽

2019 ◽

Author(s):

Damir Filipovic ◽

Kathrin Glau ◽

Yuji Nakatsukasa ◽

Francesco Statti

Keyword(s):

Monte Carlo ◽

Option Pricing ◽

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Empirical Research on Soybean Futures Option Pricing Based on Weighted Least Squares Quasi-Monte Carlo

2019 IEEE International Conference on Computation, Communication and Engineering (ICCCE) ◽

10.1109/iccce48422.2019.9010828 ◽

2019 ◽

Author(s):

Lili Xu ◽

Sujuan Pan ◽

Ting Cheng Chang

Keyword(s):

Monte Carlo ◽

Option Pricing ◽

Least Squares ◽

Empirical Research ◽

Weighted Least Squares ◽

Quasi Monte Carlo

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American option pricing on reconfigurable hardware using Least-Squares Monte Carlo method

2009 International Conference on Field-Programmable Technology ◽

10.1109/fpt.2009.5377662 ◽

2009 ◽

Author(s):

Xiang Tian ◽

Khaled Benkrid

Keyword(s):

Monte Carlo ◽

Monte Carlo Method ◽

Option Pricing ◽

Least Squares ◽

Reconfigurable Hardware ◽

American Option ◽

American Option Pricing ◽

Least Squares Monte Carlo

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Quantitative error estimates for a least-squares Monte Carlo algorithm for American option pricing

Finance and Stochastics ◽

10.1007/s00780-013-0204-9 ◽

2013 ◽

Vol 17 (3) ◽

pp. 503-534 ◽

Author(s):

Daniel Z. Zanger

Keyword(s):

Monte Carlo ◽

Option Pricing ◽

Least Squares ◽

Error Estimates ◽

American Option ◽

Monte Carlo Algorithm ◽

American Option Pricing ◽

Least Squares Monte Carlo

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CONVERGENCE OF A LEAST-SQUARES MONTE CARLO ALGORITHM FOR AMERICAN OPTION PRICING WITH DEPENDENT SAMPLE DATA

Mathematical Finance ◽

10.1111/mafi.12125 ◽

2016 ◽

Vol 28 (1) ◽

pp. 447-479 ◽

Author(s):

Daniel Z. Zanger

Keyword(s):

Monte Carlo ◽

Option Pricing ◽

Least Squares ◽

American Option ◽

Monte Carlo Algorithm ◽

American Option Pricing ◽

Least Squares Monte Carlo ◽

Sample Data ◽

Dependent Sample

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Pricing American-style options by Monte Carlo simulation: alternatives to ordinary least squares

The Journal of Computational Finance ◽

10.21314/jcf.2014.279 ◽

2014 ◽

Vol 18 (1) ◽

pp. 121-143 ◽

Author(s):

Stathis Tompaidis ◽

Chunyu Yang

Keyword(s):

Monte Carlo Simulation ◽

Monte Carlo ◽

Least Squares ◽

Ordinary Least Squares ◽

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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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