Practical policy iteration: generic methods for obtaining rapid and tight bounds for Bermudan exotic derivatives using Monte Carlo simulation

DOI10.1016/j.jedc.2013.03.004zbMath1402.91888OpenAlexW3121876850MaRDI QIDQ1994265

Christopher Beveridge, Mark S. Joshi, Robert L. Tang

Publication date: 1 November 2018

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jedc.2013.03.004

zbMATH Keywords

Monte Carloearly exerciseLIBOR market modelBermudan option

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (6)

LEAST SQUARES MONTE CARLO CREDIT VALUE ADJUSTMENT WITH SMALL AND UNIDIRECTIONAL BIAS ⋮ Effective sub-simulation-free upper bounds for the Monte Carlo pricing of callable derivatives and various improvements to existing methodologies ⋮ Cross-hedging minimum return guarantees: basis and liquidity risks ⋮ THE EFFICIENT COMPUTATION OF PRICES AND GREEKS FOR CALLABLE RANGE ACCRUALS USING THE DISPLACED-DIFFUSION LMM ⋮ Generic improvements to least squares Monte Carlo methods with applications to optimal stopping problems ⋮ Analysing the bias in the primal-dual upper bound method for early exercisable derivatives: bounds, estimation and removal

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