References
- Andersen, L. and Broadie, M., Primal–dual simulation algorithm for pricing multidimensional American options. Manage. Sci., 2004, 50, 1222–1234. doi: 10.1287/mnsc.1040.0258
- Anker, F., Bayer, C., Eigel, M., Ladkau, M., Neumann, J. and Schoenmakers, J., SDE based regression for linear random PDEs. SIAM J. Sci. Comput., 2017, 39(3), A1168–A1200. doi: 10.1137/16M1060637
- Bally, V., Pagés, G. and Printems, J., A quantization tree method for pricing and hedging multidimensional American options. Math. Finance, 2005, 15(1), 119–168. doi: 10.1111/j.0960-1627.2005.00213.x
- Bayer, C., Belomestny, D., Redmann, M., Riedel, S. and Schoenmakers, J., Solving linear parabolic rough partial differential equations. J. of Math. Anal. and Appl., 2020. https://doi.org/10.1016/j.jmaa.2020.124236
- Belomestny, D., Kaledin, M. and Schoenmakers, J., Semi-tractability of optimal stopping problems via a weighted stochastic mesh algorithm. Math. Financ., 2020. https://doi.org/10.1111/mafi.12271
- Belomestny, D. and Schoenmakers, J., Optimal stopping of McKean–Vlasov diffusions via regression on particle systems. SIAM J. on Contr. Optim., 2020, 58, 529–550. doi: 10.1137/18M1195590
- Belomestny, D. and Schoenmakers, J., Advanced Simulation-based Methods for Optimal Stopping and Control, 2018 (Palgrave Macmillan: London). With applications in finance.
- Broadie, M. and Glasserman, P., A stochastic mesh method for pricing high-dimensional American options. J. Comput. Finan., 2004, 7(4), 35–72. doi: 10.21314/JCF.2004.117
- Glasserman, P., Monte Carlo Methods in Financial Engineering, volume 53 of Applications of Mathematics (New York), 2004. (Springer-Verlag: New York). Stochastic Modelling and Applied Probability.
- Glasserman P. and Yu, B., Simulation for American options: Regression now or regression later?. In Monte Carlo and Quasi-Monte Carlo Methods 2002, edited by H. Niederreiter, pp. 213–226, 2004 (Springer: Berlin, Heidelberg).
- Györfi, L., Kohler, M., Krzyżak, A. and Walk, H., A Distribution-free Theory of Nonparametric Regression. Springer Series in Statistics, 2002 (Springer-Verlag: New York).
- Longstaff, F.A. and Schwartz, E.S., Valuing American options by simulation: A simple least-squares approach. Rev. Financ. Stud., 2001, 14(1), 113–147. doi: 10.1093/rfs/14.1.113
- Neveu, J., Discrete-parameter Martingales, 1975 (North-Holland Publishing Co.: Amsterdam-Oxford; American Elsevier Publishing Co Inc.: New York). Revised edition, 1975. Translated from the French by T. P. Speed, North-Holland Mathematical Library, Vol. 10.
- Tsitsiklis, J. and Van Roy, B., Regression methods for pricing complex American style options. IEEE Trans. Neural. Net., 2001, 12(14), 694–703. doi: 10.1109/72.935083
- Zanger, D.Z., Quantitative error estimates for a least-squares monte carlo algorithm for American option pricing. Finance Stoch., 2013, 17(3), 503–534. doi: 10.1007/s00780-013-0204-9