Sensitivities for Bermudan options by regression methods

DOI10.1007/S10203-009-0101-ZzbMath1198.91202OpenAlexW2098051638MaRDI QIDQ604677

Grigori N. Milstein, Denis Belomestny, John G. M. Schoenmakers

Publication date: 12 November 2010

Published in: Decisions in Economics and Finance (Search for Journal in Brave)

Full work available at URL: http://edoc.hu-berlin.de/18452/4719

zbMATH Keywords

Monte Carlo simulationoptimal stopping timesAmerican and Bermudan optionsconditional probabilistic representationsdeltasregression methods

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Statistical methods; risk measures (91G70) Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (4)

THE EARLY EXERCISE PREMIUM IN AMERICAN OPTIONS BY USING NONPARAMETRIC REGRESSIONS ⋮ American Option Sensitivities Estimation via a Generalized Infinitesimal Perturbation Analysis Approach ⋮ Valuation of fixed and variable rate mortgages: binomial tree versus analytical approximations ⋮ The stochastic grid bundling method: efficient pricing of Bermudan options and their Greeks

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