Enhanced policy iteration for American options via scenario selection

DOI10.1080/14697680701253013zbMath1134.91396OpenAlexW1994634377MaRDI QIDQ3498561

Christian Bender, Anastasia Kolodko, John G. M. Schoenmakers

Publication date: 15 May 2008

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

Full work available at URL: http://www.ssoar.info/ssoar/handle/document/22100

zbMATH Keywords

Monte Carlo methodsoptimal policiespricing of derivatives securitiesAmerican-style derivative securities

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Microeconomic theory (price theory and economic markets) (91B24) Stopping times; optimal stopping problems; gambling theory (60G40)

Related Items (6)

Multilevel dual approach for pricing American style derivatives ⋮ Multilevel Simulation Based Policy Iteration for Optimal Stopping--Convergence and Complexity ⋮ A policy iteration algorithm for the American put option and free boundary control problems ⋮ Practical policy iteration: generic methods for obtaining rapid and tight bounds for Bermudan exotic derivatives using Monte Carlo simulation ⋮ A pure martingale dual for multiple stopping ⋮ Solving high-dimensional optimal stopping problems using deep learning

Cites Work

• On the Malliavin approach to Monte Carlo approximation of conditional expectations
• Iterative construction of the optimal Bermudan stopping time
• Pricing American Options: A Duality Approach
• Upper Bounds for Bermudan Style Derivatives
• Monte Carlo valuation of American options
• Valuing American Options by Simulation: A Simple Least-Squares Approach
• An iterative method for multiple stopping: convergence and stability

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