Optimal Dual Martingales, Their Analysis, and Application to New Algorithms for Bermudan Products

DOI10.1137/110832513zbMath1282.91346arXiv1111.6038OpenAlexW3123231293MaRDI QIDQ2873120

Jianing Zhang, Junbo Huang, John G. M. Schoenmakers

Publication date: 23 January 2014

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1111.6038

zbMATH Keywords

dualityMonte Carlo simulationlinear regressionbackward algorithmBermudan optionssurely optimal martingales

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Martingales with discrete parameter (60G42) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)

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