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

Journals Menu

Follow SCIRP

ISSN Print: 2161-718X
ISSN Online: 2161-7198
www.scirp.org/journal/ojs
E-mail: ojs@scirp.org

"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

has been cited by the following article(s):

[1]	Moving average options: Machine Learning and Gauss-Hermite quadrature for a double non-Markovian problem
	European Journal of Operational …, 2022

[2]	Evaluation of gas sales agreements with indexation using tree and least-squares Monte Carlo methods on graphics processing units
	2020

[3]	Sparse grid regression for performance prediction using high-dimensional run time data
	2019

[4]	The Evaluation of Gas Sales Agreements
	2018

[5]	Pricing American Options Under High-Dimensional Models with Recursive Adaptive Sparse Expectations
	SSRN, 2016

[6]	497 Evaluation of Gas Sales Agreements with Indexation Using Tree and Least-Squares Monte Carlo Methods on Graphics Processing Units
	… : Fundamental Theory of Futures, Forwards

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

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

[3]	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

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

Follow SCIRP

Free SCIRP Newsletters

Add your e-mail address to receive free newsletters from SCIRP.

Top