Pricing Bermudan Options Using Regression Trees/Random Forests

DOI10.1137/21m1460648zbMath1528.91073arXiv2201.02587MaRDI QIDQ6070674

Jérôme Lelong, Pierre Henry-Labordère, Zineb El Filali Ech-Chafiq

Publication date: 23 November 2023

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

Full work available at URL: https://arxiv.org/abs/2201.02587

zbMATH Keywords

optimal stoppingrandom forestsregression treesBermudan options

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Stochastic approximation (62L20) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20) Approximation algorithms (68W25)

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Valuation of the early-exercise price for options using simulations and nonparametric regression
• An analysis of a least squares regression method for American option pricing
• Pricing and hedging GMWB in the Heston and in the Black-Scholes with stochastic interest rate models
• A continuous mapping theorem for the smallest argmax functional
• Neural network regression for Bermudan option pricing
• PRICING OF HIGH-DIMENSIONAL AMERICAN OPTIONS BY NEURAL NETWORKS
• A continuous mapping theorem for the argmax‐functional in the non‐unique case
• Optimal stopping of Markov processes: Hilbert space theory, approximation algorithms, and an application to pricing high-dimensional financial derivatives
• Dual Pricing of American Options by Wiener Chaos Expansion
• Monte Carlo valuation of American options
• Solving high-dimensional partial differential equations using deep learning
• A Fast and Accurate FFT-Based Method for Pricing Early-Exercise Options under Lévy Processes
• Valuing American Options by Simulation: A Simple Least-Squares Approach
• Deep optimal stopping
• A QUANTIZATION TREE METHOD FOR PRICING AND HEDGING MULTIDIMENSIONAL AMERICAN OPTIONS
• Random forests
• Using iterated bagging to debias regressions

This page was built for publication: Pricing Bermudan Options Using Regression Trees/Random Forests