19 citations · 23 across the 2 of their papers we have counts for
2 papers
q-fin.CP2018★ 4 cited
Leave-one-out least squares Monte Carlo algorithm for pricing Bermudan options
Jeechul Woo, Chenru Liu, Jaehyuk Choi
The least squares Monte Carlo (LSM) algorithm proposed by Longstaff and Schwartz (2001) is widely used for pricing Bermudan options. The LSM estimator contains undesirable look-ahe…
math.MG2011★ 19 cited
Three-point bounds for energy minimization
Henry Cohn, Jeechul Woo
Three-point semidefinite programming bounds are one of the most powerful known tools for bounding the size of spherical codes. In this paper, we use them to prove lower bounds for…