Showing results 1 to 6 of 6
| Title | Author(s) | Issue Date | |
|---|---|---|---|
Dual control Monte-Carlo method for tight bounds of value function in regime switching utility maximization Journal:European Journal of Operational Research | 2017 | ||
Dual control Monte-Carlo method for tight bounds of value function under Heston stochastic volatility model Journal:European Journal of Operational Research | 2020 | ||
LAPLACE BOUNDS APPROXIMATION FOR AMERICAN OPTIONS Journal:Probability in the Engineering and Informational Sciences | 2022 | ||
Least-squares Monte-Carlo methods for optimal stopping investment under CEV models Journal:Quantitative Finance | 2020 | ||
Optimal investment strategies for general utilities under dynamic elasticity of variance models Journal:Quantitative Finance | 2018 | ||
Stochastic lattice models for valuation of volatility options Journal:Economic Modelling | 2015 |