Pricing high-dimensional Bermudan options using the stochastic grid method

DOI10.1080/00207160.2012.690035zbMath1255.91430OpenAlexW2165647372MaRDI QIDQ4903543

Shashi Jain, Cornelis W. Oosterlee

Publication date: 22 January 2013

Published in: International Journal of Computer Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00207160.2012.690035

zbMATH Keywords

Monte Carloregressionhigh dimensionalBermudan optionsstochastic mesh methodleast squares method (LSM)Amrican optionsGram Charlierstochastic grid method

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Stopping times; optimal stopping problems; gambling theory (60G40) Numerical solutions to stochastic differential and integral equations (65C30)

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JDOI variance reduction method and the pricing of American-style options ⋮ A Longstaff and Schwartz approach to the early election problem ⋮ A Nonintrusive Stratified Resampler for Regression Monte Carlo: Application to Solving Nonlinear Equations ⋮ Unbiased optimal stopping via the MUSE ⋮ Efficient exposure computation by risk factor decomposition ⋮ The stochastic grid bundling method: efficient pricing of Bermudan options and their Greeks ⋮ Machine learning for pricing American options in high-dimensional Markovian and non-Markovian models ⋮ Solving high-dimensional optimal stopping problems using deep learning ⋮ EFFICIENT COMPUTATION OF EXPOSURE PROFILES FOR COUNTERPARTY CREDIT RISK

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