Regression methods in pricing American and Bermudan options using consumption processes

DOI10.1080/14697680802165736zbMath1169.91338OpenAlexW1984202064MaRDI QIDQ3395739

Denis Belomestny, Grigori N. Milstein, Vladimir Spokoiny

Publication date: 13 September 2009

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: http://www.ssoar.info/ssoar/handle/document/22124

zbMATH Keywords

Monte Carloerror boundsconsumption processoptimal stopping timesAmerican and Bermudan optionsregression methods

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24)

Related Items (8)

Sensitivities for Bermudan options by regression methods ⋮ Regression-Based Complexity Reduction of the Nested Monte Carlo Methods ⋮ Laplace transforms of stochastic integrals and the pricing of Bermudan swaptions ⋮ Primal–dual quasi-Monte Carlo simulation with dimension reduction for pricing American options ⋮ Pricing Bermudan options by nonparametric regression: optimal rates of convergence for lower estimates ⋮ Pricing Bermudan options using low-discrepancy mesh methods ⋮ Effective sub-simulation-free upper bounds for the Monte Carlo pricing of callable derivatives and various improvements to existing methodologies ⋮ A pure martingale dual for multiple stopping

Cites Work

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• Iterative construction of the optimal Bermudan stopping time
• Pricing American Options: A Duality Approach
• Upper Bounds for Bermudan Style Derivatives
• Robust Libor Modelling and Pricing of Derivative Products
• Monte Carlo valuation of American options
• Valuing American Options by Simulation: A Simple Least-Squares Approach
• A QUANTIZATION TREE METHOD FOR PRICING AND HEDGING MULTIDIMENSIONAL AMERICAN OPTIONS
• MONTE CARLO EVALUATION OF AMERICAN OPTIONS USING CONSUMPTION PROCESSES
• LATTICE OPTION PRICING BY MULTIDIMENSIONAL INTERPOLATION

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