Multilevel dual approach for pricing American style derivatives

DOI10.1007/s00780-013-0208-5zbMath1310.91142OpenAlexW2120301464MaRDI QIDQ377450

Denis Belomestny, Fabian Dickmann, John G. M. Schoenmakers

Publication date: 6 November 2013

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00780-013-0208-5

zbMATH Keywords

optimal stoppingAmerican optionmultilevel Monte Carlodual approach

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (16)

A PRIMAL–DUAL ALGORITHM FOR BSDES ⋮ Regression-Based Complexity Reduction of the Nested Monte Carlo Methods ⋮ Multilevel Simulation Based Policy Iteration for Optimal Stopping--Convergence and Complexity ⋮ Unbiased optimal stopping via the MUSE ⋮ Fast estimation of true bounds on Bermudan option prices under jump-diffusion processes ⋮ Analytic solution for American barrier options with two barriers ⋮ Discrete-type approximations for non-Markovian optimal stopping problems. II ⋮ Multilevel simulation of functionals of Bernoulli random variables with application to basket credit derivatives ⋮ Recursive lower and dual upper bounds for Bermudan-style options ⋮ Deep optimal stopping ⋮ An introduction to multilevel Monte Carlo for option valuation ⋮ Addendum to: ``Multilevel dual approach for pricing American style derivatives ⋮ From Rough Path Estimates to Multilevel Monte Carlo ⋮ Analysing the bias in the primal-dual upper bound method for early exercisable derivatives: bounds, estimation and removal ⋮ Pricing Bermudan Options via Multilevel Approximation Methods ⋮ Solving high-dimensional optimal stopping problems using deep learning

Uses Software

• Wavelet and Multiscale Library

Cites Work

• Unnamed Item
• Pricing Bermudan options by nonparametric regression: optimal rates of convergence for lower estimates
• Valuation of the early-exercise price for options using simulations and nonparametric regression
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• Optimal Dual Martingales, Their Analysis, and Application to New Algorithms for Bermudan Products
• Multilevel Monte Carlo Path Simulation
• Enhanced policy iteration for American options via scenario selection
• Improved lower and upper bound algorithms for pricing American options by simulation
• TRUE UPPER BOUNDS FOR BERMUDAN PRODUCTS VIA NON‐NESTED MONTE CARLO
• 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
• A Simple Derivation of and Improvements to Jamshidian's and Rogers' Upper Bound Methods for Bermudan Options
• Valuing American Options by Simulation: A Simple Least-Squares Approach

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