On the primal-dual algorithm for callable bermudan options

DOI10.1007/S11147-012-9078-9zbMath1269.91099OpenAlexW1988349605MaRDI QIDQ2393163

Jan H. Maruhn, Maximilian L. Mair

Publication date: 7 August 2013

Published in: Review of Derivatives Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11147-012-9078-9

zbMATH Keywords

Bermudan optionsdual boundsmixed exercise

Mathematics Subject Classification ID

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

Cites Work

• The Pricing of Options and Corporate Liabilities
• Mathematics of financial markets
• 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
• Improved lower and upper bound algorithms for pricing American options by simulation
• TRUE UPPER BOUNDS FOR BERMUDAN PRODUCTS VIA NON‐NESTED MONTE CARLO
• An efficient implementation of a least squares Monte Carlo method for valuing American-style options
• Pricing American Options: A Duality Approach
• A Parallel Algorithm for Computing the Singular Value Decomposition of a Matrix
• Monte Carlo valuation of American options
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Valuing American Options by Simulation: A Simple Least-Squares Approach
• Stochastic finance. An introduction in discrete time

This page was built for publication: On the primal-dual algorithm for callable bermudan options