High-Dimensional Regression on Sparse Grids Applied to Pricing Moving Window Asian Options

ISSN Print: 2161-718X
ISSN Online: 2161-7198
www.scirp.net/journal/ojs
E-mail: [email protected]

Citations

"High-Dimensional Regression on Sparse Grids Applied to Pricing Moving Window Asian Options"
written by Stefan Dirnstorfer, Andreas J. Grau, Rudi Zagst,
published by Open Journal of Statistics, Vol.3 No.6, 2013

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[3]	Evaluation of gas sales agreements with indexation using tree and least-squares Monte Carlo methods on graphics processing units
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[4]	Sparse grid regression for performance prediction using high-dimensional run time data
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[5]	The Evaluation of Gas Sales Agreements
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[6]	Pricing American Options Under High-Dimensional Models with Recursive Adaptive Sparse Expectations
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[3]	Machine learning methods for American-style path-dependent contracts SSRN Electronic Journal, 2023 DOI:10.2139/ssrn.4646847

[4]	Pricing American Options under High-Dimensional Models with Recursive Adaptive Sparse Expectations* Journal of Financial Econometrics, 2021 DOI:10.1093/jjfinec/nby024

[5]	Euro-Par 2019: Parallel Processing Workshops Lecture Notes in Computer Science, 2020 DOI:10.1007/978-3-030-48340-1_46

[6]	Evaluation of gas sales agreements with indexation using tree and least-squares Monte Carlo methods on graphics processing units Quantitative Finance, 2020 DOI:10.1080/14697688.2020.1775283

[7]	Pricing American Options Under High-Dimensional Models with Recursive Adaptive Sparse Expectations SSRN Electronic Journal , 2016 DOI:10.2139/ssrn.2867926