Browsing All of EconStor by Author Milstein, Grigori N.
Showing results 1 to 5 of 5
Year of Publication | Title | Author(s) |
2006 | Adaptive simulation algorithms for pricing American and Bermudan options by local analysis of financial market | Belomestny, Denis; Milstein, Grigori N. |
2006 | Forward and reverse representations for Markov chains | Milstein, Grigori N.; Schoenmakers, John G. M.; Spokoiny, Vladimir |
2006 | Regression methods in pricing American and Bermudan options using consumption processes | Belomestny, Denis; Milstein, Grigori N.; Spokoiny, Vladimir |
2007 | Sensitivities for Bermudan options by regression methods | Belomestny, Denis; Milstein, Grigori N.; Schoenmakers, John G. M. |
2011 | Martingale approach in pricing and hedging European options under regime-switching | Milstein, Grigori N.; Spokoiny, Vladimir |