Primal–dual linear Monte Carlo algorithm for multiple stopping—an application to flexible caps

DOI10.1080/14697688.2013.775476zbMath1281.91178OpenAlexW2140113915MaRDI QIDQ5397436

Sven Balder, Antje Mahayni, John G. M. Schoenmakers

Publication date: 20 February 2014

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

Full work available at URL: https://doi.org/10.1080/14697688.2013.775476

zbMATH Keywords

Monte Carlo simulationlinear regressionmultiple stoppingdual representationflexible caps

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Martingales with discrete parameter (60G42) Monte Carlo methods (65C05) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (3)

Primal-Dual Regression Approach for Markov Decision Processes with General State and Action Spaces ⋮ Fast estimation of true bounds on Bermudan option prices under jump-diffusion processes ⋮ DUAL REPRESENTATIONS FOR GENERAL MULTIPLE STOPPING PROBLEMS

Cites Work

• Dual pricing of multi-exercise options under volume constraints
• A pure martingale dual for multiple stopping
• Iterative construction of the optimal Bermudan stopping time
• TRUE UPPER BOUNDS FOR BERMUDAN PRODUCTS VIA NON‐NESTED MONTE CARLO
• MONTE CARLO METHODS FOR THE VALUATION OF MULTIPLE‐EXERCISE OPTIONS
• Monte Carlo valuation of American options
• Valuing American Options by Simulation: A Simple Least-Squares Approach
• Pricing Interest-Rate-Derivative Securities
• An iterative method for multiple stopping: convergence and stability

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