A unified approach to multiple stopping and duality

Valuing American Options by Simulation: A Simple Least-Squares Approach

Francis A. Longstaff, Eduardo S. Schwartz · Review of Financial Studies · 2001 · 3.3K citations

Business, Finance, Asset Pricing +16

Regression methods for pricing complex American-style options

John N. Tsitsiklis, Benjamin Van Roy · IEEE Transactions on Neural Networks · 2001 · 643 citations

Business, Finance, Mathematics +17

Pricing American Options: A Duality Approach

Martin B. Haugh, Leonid Kogan · Operations Research · 2004 · 476 citations

Business, Finance, Mathematics +17

Primal-Dual Simulation Algorithm for Pricing Multidimensional American Options

Leif B. G. Andersen, Mark Broadie · Management Science · 2004 · 436 citations

Business, Economics, Finance +17

Valuation of Commodity-Based Swing Options

Patrick Jaillet, Ehud I. Ronn, Stathis Tompaidis · Management Science · 2004 · 287 citations

Natural Resources, Economics, Finance +17