Practical policy iteration: generic methods for obtaining rapid and tight bounds for Bermudan exotic derivatives using Monte Carlo simulation
type: Item
instance of: scholarly article
title: Practical policy iteration: generic methods for obtaining rapid and tight bounds for Bermudan exotic derivatives using Monte Carlo simulation
zbMATH Open document ID: 1402.91888
author: Christopher Beveridge
author: Mark Joshi
author: Robert L. Tang
publication date: 2018-11-01T00:00:00Z
Mathematics Subject Classification ID: 91G60
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 65C05
zbMATH DE Number: 6970206
zbMATH Keywords: Bermudan option
zbMATH Keywords: LIBOR market model
zbMATH Keywords: early exercise
zbMATH Keywords: Monte Carlo
MaRDI profile type: Publication
full work available at URL: j.jedc.2013.03.004
OpenAlex ID: W3121876850
cites work: Smooth simultaneous calibration of the LMM to caplets and co-terminal swaptions
cites work: TRUE UPPER BOUNDS FOR BERMUDAN PRODUCTS VIA NON‐NESTED MONTE CARLO
cites work: Enhanced policy iteration for American options via scenario selection
cites work: An iterative method for multiple stopping: convergence and stability
cites work: Monte Carlo methods for security pricing
cites work: Q5447499
cites work: The Market Model of Interest Rate Dynamics
cites work: Interest rate models -- theory and practice
cites work: Improved lower and upper bound algorithms for pricing American options by simulation
cites work: Pricing American-style securities using simulation
cites work: Valuation of the early-exercise price for options using simulations and nonparametric regression
cites work: Q4895161
cites work: Q5540945
cites work: Q4433608
cites work: A stochastic calculus model of continuous trading: Complete markets
cites work: Pricing American Options: A Duality Approach
cites work: LIBOR and swap market models and measures
cites work: Q3533738
cites work: Effective sub-simulation-free upper bounds for the Monte Carlo pricing of callable derivatives and various improvements to existing methodologies
cites work: Iterative construction of the optimal Bermudan stopping time
cites work: Continuous-time term structure models: Forward measure approach
cites work: Randomized quasi-Monte Carlo methods in pricing securities
cites work: Monte Carlo valuation of American options
cites work: Probability with Martingales
DOI: 10.1016/J.JEDC.2013.03.004
published in: Journal of Economic Dynamics and Control
description: scientific article; zbMATH DE number 6970206