Mixing LSMC and PDE Methods to Price Bermudan Options

DOI10.1137/19M1249035zbMath1443.91328arXiv1803.07216OpenAlexW3011766377MaRDI QIDQ5112723

David Farahany, Sebastian Jaimungal, Kenneth R. Jackson

Publication date: 8 June 2020

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1803.07216

zbMATH Keywords

PDEoption pricingmultigrid methodsLSMC

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20) Computational difficulty of problems (lower bounds, completeness, difficulty of approximation, etc.) (68Q17)

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