66 citations · 105 across the 3 of their papers we have counts for
3 papers
math.ST2010★ 38 cited
Quantile estimation with adaptive importance sampling
Daniel Egloff, Markus Leippold
We introduce new quantile estimators with adaptive importance sampling. The adaptive estimators are based on weighted samples that are neither independent nor identically distribut…
math.PR2007★ 66 cited
A dynamic look-ahead Monte Carlo algorithm for pricing Bermudan options
Daniel Egloff, Michael Kohler, Nebojsa Todorovic
Under the assumption of no-arbitrage, the pricing of American and Bermudan options can be casted into optimal stopping problems. We propose a new adaptive simulation based algorith…
math.PR2004★ 1 cited
Monte Carlo Algorithms for Optimal Stopping and Statistical Learning
Daniel Egloff
We extend the Longstaff-Schwartz algorithm for approximately solving optimal stopping problems on high-dimensional state spaces. We reformulate the optimal stopping problem for Mar…