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arXiv research

A locally-built, LLM-digested index of recent arXiv papers in quant finance, geometry/topology, and statistical ML — keyword search served straight from SQLite on this machine.

169,291 papers · 148 categories

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1122 · Nov 201619922001200920182026
2 results for “de-Americanization”
Calibration to American Options: Numerical Investigation of the de-Americanizationq-fin.CP

A new method for calibrating American options is tested and found to be reliable in some scenarios but not in others.

problem Calibrating American options for model accuracy.
method De-Americanization method, based on simplifications.
result De-Americanization performs well in some scenarios but can lead to large errors in others.
American optionscalibrationde-AmericanizationMonte Carlotree methods
2016-11-18abs ↗pdf ↗
Model reduction for calibration of American optionsmath.NA

Calibrating American options is sped up using model reduction techniques.

problem Calibrating American options is computationally challenging due to their flexibility and constraints.
method Two model reduction strategies: reduced basis method and de-Americanization.
result Calibration process is significantly faster with reduced model complexity.
American optionscalibrationmodel reductionHeston modelreduced basis method
2016-11-19abs ↗pdf ↗