Quasi-Monte Carlo simulations for Longstaff Schwartz pricing of american options

Quasi-Monte Carlo simulations for Longstaff Schwartz pricing of american options

Bibliographic Details
Main Author:	Couffignals, E
Format:	Thesis
Published:	Mathematical Institute;Oxford University 2010

Similar Items

Longstaff Schwartz Pricing of Bermudan Options and their Greeks
by: Thom, H
Published: (2009)

Evaluating Credit Counterparty Risk of American Options via Monte Carlo Methods: A Comparison of Tilley Bundling and Longstaff-Schwartz LSM
by: Dominic Cortis
Published: (2019-12-01)

Monte Carlo simulation algorithms for the pricing of American options
by: Lin, P
Published: (2008)

Quasi-Monte Carlo simulation of Brownian sheet with application to option pricing
by: Xinyu Song, et al.
Published: (2017-01-01)

Monte Carlo Simulation of an American Option
by: Gikiri Thuo
Published: (2007-04-01)

Pricing American Options using Monte Carlo Method
by: Wu, Z
Published: (2012)

Distributed Least-Squares Monte Carlo for American Option Pricing
by: Lu Xiong, et al.
Published: (2023-08-01)

Monte Carlo Option Pricing
by: Cecilia Maya
Published: (2004-01-01)

Stock Option Pricing by Augmented Monte-Carlo Simulation models
by: Jalal Seifoddini
Published: (2021-10-01)

Quantum advantage of Monte Carlo option pricing
by: Zoltán Udvarnoki, et al.
Published: (2023-01-01)

Implementation of the modified Monte Carlo simulation for evaluate the barrier option prices
by: Kazem Nouri, et al.
Published: (2017-03-01)

Pricing of Arithmetic Average Asian Option by Combining Variance Reduction and Quasi-Monte Carlo Method
by: Lingling Xu, et al.
Published: (2023-01-01)

Monte-Carlo methods for the pricing of American options: a semilinear BSDE point of view
by: Bouchard Bruno, et al.
Published: (2019-01-01)

Monte carlo and quasi-monte carlo methods 2006 /
by: International Conference on Monte Carlo and Quasi-Monte Carlo Methods in Scientific Computing (7th : 2006 : Ulm, Germany), et al.
Published: (2008)

Options Pricing by Monte Carlo Simulation, Binomial Tree and BMS Model: a comparative study
by: Ali Bendob, et al.
Published: (2019-01-01)

Monte Carlo Based Numerical Pricing of Multiple Strike-Reset Options
by: Christodoulou, S
Published: (2011)

Markovian Approximation of the Rough Bergomi Model for Monte Carlo Option Pricing
by: Qinwen Zhu, et al.
Published: (2021-03-01)

Monte Carlo simulation for the pricing of GNMA securities
by: Fetter, Robert J. (Robert Jonathan)
Published: (2023)

Monte Carlo Option Princing
by: Cecilia Maya
Published: (2004-12-01)

Monte Carlo Option Princing
by: Cecilia Maya
Published: (2009-11-01)

Monte Carlo Option Princing
by: Cecilia Maya
Published: (2004-12-01)

A Monte Carlo simulation on pricing of high dimensional American options based on variance reduction(基于方差缩减的高维美式期权Monte Carlo模拟定价)
by: CHENJinbiao(陈金飚), et al.
Published: (2017-09-01)

Structured product pricing using Monte Carlo simulations
by: Teo, Kang Sheng
Published: (2021)

Stock Price Simulation Using Bootstrap and Monte Carlo
by: Pažický Martin
Published: (2017-06-01)

Alternative Monte Carlo simulation models and the growth option with jumps
by: Susana Alonso Bonis, et al.
Published: (2013-10-01)

VARIANCE GAMMA PROCESS WITH MONTE CARLO SIMULATION AND CLOSED FORM APPROACH FOR EUROPEAN CALL OPTION PRICE DETERMINATION
by: Abdul Hoyyi, et al.
Published: (2022-01-01)

Quasi-Monte Carlo for finance applications.
by: Giles, M, et al.
Published: (2008)

Quasi-Monte Carlo for finance applications
by: Giles, M, et al.
Published: (2008)

Comment on “Systemic sovereign credit risk: Lessons from the U.S. and Europe” by Ang and Longstaff
by: Chen, Hui
Published: (2017)

Monte Carlo and Quasi Monte Carlo Approach to Ulam's Method for Position Dependent Random Maps
by: Md Shafiqul Islam
Published: (2020-12-01)

On multilevel and control variate Monte Carlo methods for option pricing under the rough Heston model
by: Siow, Woon Jeng, et al.
Published: (2021)

On Multilevel and Control Variate Monte Carlo Methods for Option Pricing under the Rough Heston Model
by: Siow Woon Jeng, et al.
Published: (2021-11-01)

Electricity Price Forecasting Using Monte Carlo Simulation: The Case of Lithuania
by: Andrejus Ngujen Tat
Published: (2018-07-01)

Monte Carlo Simulations
by: Soisson F.
Published: (2011-05-01)

GRIESBACH,FF - SYNOPTIC AND TEXT-CRITICAL STUDIES 1776-1976 - ORCHARD,B, LONGSTAFF,TRW
by: Tuckett, C
Published: (1980)

Theoretical properties of quasi-stationary Monte Carlo methods
by: Wang, A, et al.
Published: (2018)

Quasi Monte Carlo for Periodic Review in Inventory Systems
by: Sugiharti Endang, et al.
Published: (2023-01-01)

Monte Carlo methods for the valuation of multiple exercise options
by: Hambly, B, et al.
Published: (2003)

Monte Carlo methods for the valuation of multiple-exercise options
by: Meinshausen, N, et al.
Published: (2004)

Variance reduction for generalized likelihood ratio method by conditional Monte Carlo and randomized Quasi-Monte Carlo methods
by: Yijie Peng, et al.
Published: (2022-12-01)