{"id":"https://openalex.org/W2554438344","doi":"https://doi.org/10.1137/19m1249035","title":"Mixing LSMC and PDE Methods to Price Bermudan Options","display_name":"Mixing LSMC and PDE Methods to Price Bermudan Options","publication_year":2016,"publication_date":"2016-01-01","ids":{"openalex":"https://openalex.org/W2554438344","doi":"https://doi.org/10.1137/19m1249035","mag":"2554438344"},"language":"en","primary_location":{"id":"doi:10.1137/19m1249035","is_oa":false,"landing_page_url":"https://doi.org/10.1137/19m1249035","pdf_url":null,"source":{"id":"https://openalex.org/S75627377","display_name":"SIAM Journal on Financial Mathematics","issn_l":"1945-497X","issn":["1945-497X"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310320508","host_organization_name":"Society for Industrial and Applied Mathematics","host_organization_lineage":["https://openalex.org/P4310320508"],"host_organization_lineage_names":["Society for Industrial and Applied Mathematics"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"SIAM Journal on Financial Mathematics","raw_type":"journal-article"},"type":"preprint","indexed_in":["arxiv","crossref","datacite"],"open_access":{"is_oa":true,"oa_status":"green","oa_url":"https://doi.org/10.2139/ssrn.2870962","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5008784109","display_name":"David Farahany","orcid":null},"institutions":[{"id":"https://openalex.org/I185261750","display_name":"University of Toronto","ror":"https://ror.org/03dbr7087","country_code":"CA","type":"education","lineage":["https://openalex.org/I185261750"]}],"countries":["CA"],"is_corresponding":true,"raw_author_name":"David Farahany","raw_affiliation_strings":["University of Toronto - Department of Statistics"],"affiliations":[{"raw_affiliation_string":"University of Toronto - Department of Statistics","institution_ids":["https://openalex.org/I185261750"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5016897782","display_name":"Sebastian Jaimungal","orcid":"https://orcid.org/0000-0002-0193-0993"},"institutions":[{"id":"https://openalex.org/I185261750","display_name":"University of Toronto","ror":"https://ror.org/03dbr7087","country_code":"CA","type":"education","lineage":["https://openalex.org/I185261750"]}],"countries":["CA"],"is_corresponding":false,"raw_author_name":"Sebastian Jaimungal","raw_affiliation_strings":["University of Toronto - Department of Statistics"],"affiliations":[{"raw_affiliation_string":"University of Toronto - Department of Statistics","institution_ids":["https://openalex.org/I185261750"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5002351708","display_name":"Kenneth R. Jackson","orcid":"https://orcid.org/0000-0003-0645-1948"},"institutions":[{"id":"https://openalex.org/I185261750","display_name":"University of Toronto","ror":"https://ror.org/03dbr7087","country_code":"CA","type":"education","lineage":["https://openalex.org/I185261750"]}],"countries":["CA"],"is_corresponding":false,"raw_author_name":"Kenneth R. Jackson","raw_affiliation_strings":["University of Toronto - Department of Computer Science"],"affiliations":[{"raw_affiliation_string":"University of Toronto - Department of Computer Science","institution_ids":["https://openalex.org/I185261750"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":3,"corresponding_author_ids":["https://openalex.org/A5008784109"],"corresponding_institution_ids":["https://openalex.org/I185261750"],"apc_list":null,"apc_paid":null,"fwci":0.0,"has_fulltext":true,"cited_by_count":0,"citation_normalized_percentile":{"value":0.19399431,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":null,"biblio":{"volume":"11","issue":"1","first_page":"201","last_page":"239"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9984999895095825,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9984999895095825,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.9649999737739563,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T12011","display_name":"Insurance, Mortality, Demography, Risk Management","score":0.9646999835968018,"subfield":{"id":"https://openalex.org/subfields/3317","display_name":"Demography"},"field":{"id":"https://openalex.org/fields/33","display_name":"Social Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/stochastic-volatility","display_name":"Stochastic volatility","score":0.6625877618789673},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.6223244071006775},{"id":"https://openalex.org/keywords/volatility","display_name":"Volatility (finance)","score":0.5099126100540161},{"id":"https://openalex.org/keywords/mathematical-optimization","display_name":"Mathematical optimization","score":0.5061754584312439},{"id":"https://openalex.org/keywords/partial-differential-equation","display_name":"Partial differential equation","score":0.49349892139434814},{"id":"https://openalex.org/keywords/valuation-of-options","display_name":"Valuation of options","score":0.45809206366539},{"id":"https://openalex.org/keywords/monte-carlo-algorithm","display_name":"Monte Carlo algorithm","score":0.4201123118400574},{"id":"https://openalex.org/keywords/monte-carlo-method","display_name":"Monte Carlo method","score":0.4143572151660919},{"id":"https://openalex.org/keywords/applied-mathematics","display_name":"Applied mathematics","score":0.3970593214035034},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.2917994558811188},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.1887839138507843},{"id":"https://openalex.org/keywords/statistics","display_name":"Statistics","score":0.07656499743461609}],"concepts":[{"id":"https://openalex.org/C85393063","wikidata":"https://www.wikidata.org/wiki/Q596307","display_name":"Stochastic volatility","level":3,"score":0.6625877618789673},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.6223244071006775},{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.5099126100540161},{"id":"https://openalex.org/C126255220","wikidata":"https://www.wikidata.org/wiki/Q141495","display_name":"Mathematical optimization","level":1,"score":0.5061754584312439},{"id":"https://openalex.org/C93779851","wikidata":"https://www.wikidata.org/wiki/Q271977","display_name":"Partial differential equation","level":2,"score":0.49349892139434814},{"id":"https://openalex.org/C194483076","wikidata":"https://www.wikidata.org/wiki/Q380382","display_name":"Valuation of options","level":2,"score":0.45809206366539},{"id":"https://openalex.org/C15482360","wikidata":"https://www.wikidata.org/wiki/Q15238499","display_name":"Monte Carlo algorithm","level":3,"score":0.4201123118400574},{"id":"https://openalex.org/C19499675","wikidata":"https://www.wikidata.org/wiki/Q232207","display_name":"Monte Carlo method","level":2,"score":0.4143572151660919},{"id":"https://openalex.org/C28826006","wikidata":"https://www.wikidata.org/wiki/Q33521","display_name":"Applied mathematics","level":1,"score":0.3970593214035034},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.2917994558811188},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.1887839138507843},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.07656499743461609},{"id":"https://openalex.org/C134306372","wikidata":"https://www.wikidata.org/wiki/Q7754","display_name":"Mathematical analysis","level":1,"score":0.0}],"mesh":[],"locations_count":7,"locations":[{"id":"doi:10.1137/19m1249035","is_oa":false,"landing_page_url":"https://doi.org/10.1137/19m1249035","pdf_url":null,"source":{"id":"https://openalex.org/S75627377","display_name":"SIAM Journal on Financial Mathematics","issn_l":"1945-497X","issn":["1945-497X"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310320508","host_organization_name":"Society for Industrial and Applied Mathematics","host_organization_lineage":["https://openalex.org/P4310320508"],"host_organization_lineage_names":["Society for Industrial and Applied Mathematics"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"SIAM Journal on Financial Mathematics","raw_type":"journal-article"},{"id":"doi:10.2139/ssrn.2870962","is_oa":true,"landing_page_url":"https://doi.org/10.2139/ssrn.2870962","pdf_url":null,"source":{"id":"https://openalex.org/S4210172589","display_name":"SSRN Electronic Journal","issn_l":"1556-5068","issn":["1556-5068"],"is_oa":true,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I1318003438","host_organization_name":"RELX Group (Netherlands)","host_organization_lineage":["https://openalex.org/I1318003438"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"SSRN Electronic Journal","raw_type":"journal-article"},{"id":"pmh:oai:RePEc:arx:papers:1803.07216","is_oa":true,"landing_page_url":null,"pdf_url":"http://arxiv.org/pdf/1803.07216","source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"preprint"},{"id":"pmh:oai:arXiv.org:1803.07216","is_oa":true,"landing_page_url":"http://arxiv.org/abs/1803.07216","pdf_url":"https://arxiv.org/pdf/1803.07216","source":{"id":"https://openalex.org/S4306400194","display_name":"arXiv (Cornell University)","issn_l":null,"issn":null,"is_oa":true,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I205783295","host_organization_name":"Cornell University","host_organization_lineage":["https://openalex.org/I205783295"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"","raw_type":"text"},{"id":"mag:2554438344","is_oa":true,"landing_page_url":"https://arxiv.org/pdf/1803.07216","pdf_url":null,"source":{"id":"https://openalex.org/S4306400194","display_name":"arXiv (Cornell University)","issn_l":null,"issn":null,"is_oa":true,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I205783295","host_organization_name":"Cornell University","host_organization_lineage":["https://openalex.org/I205783295"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"arXiv (Cornell University)","raw_type":null},{"id":"mag:3124053156","is_oa":false,"landing_page_url":"https://EconPapers.repec.org/RePEc:arx:papers:1803.07216","pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"RePEc: Research Papers in Economics","raw_type":null},{"id":"doi:10.48550/arxiv.1803.07216","is_oa":true,"landing_page_url":"https://doi.org/10.48550/arxiv.1803.07216","pdf_url":null,"source":{"id":"https://openalex.org/S4306400194","display_name":"arXiv (Cornell University)","issn_l":null,"issn":null,"is_oa":true,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I205783295","host_organization_name":"Cornell University","host_organization_lineage":["https://openalex.org/I205783295"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":null,"is_accepted":false,"is_published":null,"raw_source_name":null,"raw_type":"article"}],"best_oa_location":{"id":"doi:10.2139/ssrn.2870962","is_oa":true,"landing_page_url":"https://doi.org/10.2139/ssrn.2870962","pdf_url":null,"source":{"id":"https://openalex.org/S4210172589","display_name":"SSRN Electronic Journal","issn_l":"1556-5068","issn":["1556-5068"],"is_oa":true,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I1318003438","host_organization_name":"RELX Group (Netherlands)","host_organization_lineage":["https://openalex.org/I1318003438"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"SSRN Electronic Journal","raw_type":"journal-article"},"sustainable_development_goals":[],"awards":[],"funders":[{"id":"https://openalex.org/F4320334593","display_name":"Natural Sciences and Engineering Research Council of Canada","ror":"https://ror.org/01h531d29"}],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":48,"referenced_works":["https://openalex.org/W1032831938","https://openalex.org/W1573403487","https://openalex.org/W1582706191","https://openalex.org/W1593542532","https://openalex.org/W1655517863","https://openalex.org/W1818322095","https://openalex.org/W1985776094","https://openalex.org/W1999460071","https://openalex.org/W2003360807","https://openalex.org/W2014945091","https://openalex.org/W2038107520","https://openalex.org/W2044613220","https://openalex.org/W2064978316","https://openalex.org/W2065741784","https://openalex.org/W2072274284","https://openalex.org/W2094206697","https://openalex.org/W2100201113","https://openalex.org/W2100308191","https://openalex.org/W2101706513","https://openalex.org/W2114335557","https://openalex.org/W2123317156","https://openalex.org/W2126311658","https://openalex.org/W2128220708","https://openalex.org/W2135459060","https://openalex.org/W2148080284","https://openalex.org/W2152565894","https://openalex.org/W2169071224","https://openalex.org/W2337296382","https://openalex.org/W2411806651","https://openalex.org/W2482906928","https://openalex.org/W2541084906","https://openalex.org/W2567300630","https://openalex.org/W2753618132","https://openalex.org/W3003239501","https://openalex.org/W3099636734","https://openalex.org/W3104104764","https://openalex.org/W3121149846","https://openalex.org/W3122113998","https://openalex.org/W3122402328","https://openalex.org/W3122434727","https://openalex.org/W3122619020","https://openalex.org/W3122966166","https://openalex.org/W3123753597","https://openalex.org/W3124696154","https://openalex.org/W3125763749","https://openalex.org/W3138921481","https://openalex.org/W4232753567","https://openalex.org/W4247789589"],"related_works":["https://openalex.org/W3124053156","https://openalex.org/W2417465860","https://openalex.org/W1532317994","https://openalex.org/W2257939151","https://openalex.org/W3103307773","https://openalex.org/W1673444512","https://openalex.org/W3124689057","https://openalex.org/W3123231293","https://openalex.org/W3195820646","https://openalex.org/W2787489811","https://openalex.org/W2788096234","https://openalex.org/W2101966983","https://openalex.org/W1556618357","https://openalex.org/W1573506265","https://openalex.org/W2017684264","https://openalex.org/W2039266020","https://openalex.org/W2271111592","https://openalex.org/W3124495261","https://openalex.org/W2033698453","https://openalex.org/W2087527013"],"abstract_inverted_index":null,"counts_by_year":[],"updated_date":"2026-03-25T23:56:10.502304","created_date":"2025-10-10T00:00:00"}