28 citations · 94 across the 10 of their papers we have counts for
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q-fin.CP2014
Faster Comparison of Stopping Times by Nested Conditional Monte Carlo
Fabian Dickmann, Nikolaus Schweizer
We show that deliberately introducing a nested simulation stage can lead to significant variance reductions when comparing two stopping times by Monte Carlo. We derive the optimal…
q-fin.CP2013★ 28 cited
A primal-dual algorithm for BSDEs
Christian Bender, Nikolaus Schweizer, Jia Zhuo
We generalize the primal-dual methodology, which is popular in the pricing of early-exercise options, to a backward dynamic programming equation associated with time discretization…