ON THE CONSISTENCY OF REGRESSION‐BASED MONTE CARLO METHODS FOR PRICING BERMUDAN OPTIONS IN CASE OF ESTIMATED FINANCIAL MODELS

DOI10.1111/mafi.12025zbMath1331.91190OpenAlexW2107287500MaRDI QIDQ5247425

Andreas Fromkorth, Michael Kohler

Publication date: 24 April 2015

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

Full work available at URL: https://doi.org/10.1111/mafi.12025

zbMATH Keywords

robustnessconsistencyAmerican optionsnonparametric regressionBermudan optionsleast squares estimatesregression-based Monte Carlo methods

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Applications of statistics to actuarial sciences and financial mathematics (62P05) Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20)

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