Effective sub-simulation-free upper bounds for the Monte Carlo pricing of callable derivatives and various improvements to existing methodologies
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Publication:1994388
DOI10.1016/j.jedc.2013.12.001zbMath1402.91893OpenAlexW3125254289MaRDI QIDQ1994388
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.2013.12.001
Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20)
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A PRIMAL–DUAL ALGORITHM FOR BSDES ⋮ Pricing bounds for volatility derivatives via duality and least squares Monte Carlo ⋮ Practical policy iteration: generic methods for obtaining rapid and tight bounds for Bermudan exotic derivatives using Monte Carlo simulation ⋮ Recursive lower and dual upper bounds for Bermudan-style options ⋮ A new class of dual upper bounds for early exercisable derivatives encompassing both the additive and multiplicative bounds ⋮ Analysing the bias in the primal-dual upper bound method for early exercisable derivatives: bounds, estimation and removal
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