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

DOI10.1016/J.JEDC.2013.12.001zbMath1402.91893OpenAlexW3125254289MaRDI QIDQ1994388

Mark S. Joshi, Robert L. Tang

Publication date: 1 November 2018

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jedc.2013.12.001

zbMATH Keywords

upper boundsMonte Carloearly exerciseLIBOR market modelBermudan optionscallability

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (6)

A PRIMAL–DUAL ALGORITHM FOR BSDES ⋮ Pricing bounds for volatility derivatives via duality and least squares Monte Carlo ⋮ Practical policy iteration: generic methods for obtaining rapid and tight bounds for Bermudan exotic derivatives using Monte Carlo simulation ⋮ Recursive lower and dual upper bounds for Bermudan-style options ⋮ A new class of dual upper bounds for early exercisable derivatives encompassing both the additive and multiplicative bounds ⋮ Analysing the bias in the primal-dual upper bound method for early exercisable derivatives: bounds, estimation and removal

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