The optimal method for pricing Bermudan options by simulation

DOI10.1111/MAFI.12158zbMath1417.91555OpenAlexW3123742586MaRDI QIDQ4962465

Alfredo Ibáñez, Carlos Velasco

Publication date: 2 November 2018

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

Full work available at URL: http://hdl.handle.net/10016/25231

zbMATH Keywords

optimizationsimulationAmerican and Bermudan optionslocal least-squaresoptimal stopping-times

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 (3)

The price of the Bermudan option: A simple, explicit formula ⋮ Recursive lower and dual upper bounds for Bermudan-style options ⋮ A simple and efficient numerical method for pricing discretely monitored early-exercise options

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