Practical policy iteration: generic methods for obtaining rapid and tight bounds for Bermudan exotic derivatives using Monte Carlo simulation (Q1994265): Difference between revisions

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scientific article

Language	Label	Description	Also known as
English	Practical policy iteration: generic methods for obtaining rapid and tight bounds for Bermudan exotic derivatives using Monte Carlo simulation	scientific article

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instance of

scholarly article

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title

Practical policy iteration: generic methods for obtaining rapid and tight bounds for Bermudan exotic derivatives using Monte Carlo simulation (English)

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author

Christopher Beveridge

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Mark S. Joshi

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Robert L. Tang

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published in

Journal of Economic Dynamics and Control

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publication date

1 November 2018

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zbMATH Keywords

Bermudan option

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LIBOR market model

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early exercise

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Monte Carlo

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MaRDI profile type

Publication

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full work available at URL

https://doi.org/10.1016/j.jedc.2013.03.004

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cites work

Smooth simultaneous calibration of the LMM to caplets and co-terminal swaptions

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TRUE UPPER BOUNDS FOR BERMUDAN PRODUCTS VIA NON‐NESTED MONTE CARLO

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Enhanced policy iteration for American options via scenario selection

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An iterative method for multiple stopping: convergence and stability

0 references

Monte Carlo methods for security pricing

0 references

Q5447499

0 references

The Market Model of Interest Rate Dynamics

0 references

Interest rate models -- theory and practice

0 references

Improved lower and upper bound algorithms for pricing American options by simulation

0 references

Pricing American-style securities using simulation

0 references

Valuation of the early-exercise price for options using simulations and nonparametric regression

0 references

Q4895161

0 references

Q5540945

0 references

Q4433608

0 references

A stochastic calculus model of continuous trading: Complete markets

0 references

Pricing American Options: A Duality Approach

0 references

LIBOR and swap market models and measures

0 references

Q3533738

0 references

Effective sub-simulation-free upper bounds for the Monte Carlo pricing of callable derivatives and various improvements to existing methodologies

0 references

Iterative construction of the optimal Bermudan stopping time

0 references

Continuous-time term structure models: Forward measure approach

0 references

Randomized quasi-Monte Carlo methods in pricing securities

0 references

Monte Carlo valuation of American options

0 references

Probability with Martingales

0 references

Identifiers

zbMATH Open document ID

1402.91888

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Mathematics Subject Classification ID

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10.1016/J.JEDC.2013.03.004

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Sitelinks

Mathematics(1 entry)

mardi Publication:1994265

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-Robert L. Tang
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+Smooth simultaneous calibration of the LMM to caplets and co-terminal swaptions
+Normal rank
@@ Property / cites work @@
+TRUE UPPER BOUNDS FOR BERMUDAN PRODUCTS VIA NON‐NESTED MONTE CARLO
+Normal rank
@@ Property / cites work @@
+Enhanced policy iteration for American options via scenario selection
+Normal rank
@@ Property / cites work @@
+An iterative method for multiple stopping: convergence and stability
+Normal rank
@@ Property / cites work @@
+Monte Carlo methods for security pricing
@@ Property / cites work: Monte Carlo methods for security pricing / rank @@
+Normal rank
@@ Property / cites work @@
+Q5447499
@@ Property / cites work: Q5447499 / rank @@
+Normal rank
@@ Property / cites work @@
+The Market Model of Interest Rate Dynamics
@@ Property / cites work: The Market Model of Interest Rate Dynamics / rank @@
+Normal rank
@@ Property / cites work @@
+Interest rate models -- theory and practice
@@ Property / cites work: Interest rate models -- theory and practice / rank @@
+Normal rank
@@ Property / cites work @@
+Improved lower and upper bound algorithms for pricing American options by simulation
+Normal rank
@@ Property / cites work @@
+Pricing American-style securities using simulation
+Normal rank
@@ Property / cites work @@
+Valuation of the early-exercise price for options using simulations and nonparametric regression
+Normal rank
@@ Property / cites work @@
+Q4895161
@@ Property / cites work: Q4895161 / rank @@
+Normal rank
@@ Property / cites work @@
+Q5540945
@@ Property / cites work: Q5540945 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4433608
@@ Property / cites work: Q4433608 / rank @@
+Normal rank
@@ Property / cites work @@
+A stochastic calculus model of continuous trading: Complete markets
+Normal rank
@@ Property / cites work @@
+Pricing American Options: A Duality Approach
@@ Property / cites work: Pricing American Options: A Duality Approach / rank @@
+Normal rank
@@ Property / cites work @@
+LIBOR and swap market models and measures
@@ Property / cites work: LIBOR and swap market models and measures / rank @@
+Normal rank
@@ Property / cites work @@
+Q3533738
@@ Property / cites work: Q3533738 / rank @@
+Normal rank
@@ Property / cites work @@
+Effective sub-simulation-free upper bounds for the Monte Carlo pricing of callable derivatives and various improvements to existing methodologies
+Normal rank
@@ Property / cites work @@
+Iterative construction of the optimal Bermudan stopping time
+Normal rank
@@ Property / cites work @@
+Continuous-time term structure models: Forward measure approach
+Normal rank
@@ Property / cites work @@
+Randomized quasi-Monte Carlo methods in pricing securities
+Normal rank
@@ Property / cites work @@
+Monte Carlo valuation of American options
@@ Property / cites work: Monte Carlo valuation of American options / rank @@
+Normal rank
@@ Property / cites work @@
+Probability with Martingales
@@ Property / cites work: Probability with Martingales / rank @@
+Normal rank
@@ Property / DOI @@
+.1016/J.JEDC.2013.03.004
@@ Property / DOI: 10.1016/J.JEDC.2013.03.004 / rank @@
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+Publication:1994265