A dynamic look-ahead Monte Carlo algorithm for pricing Bermudan options

DOI10.1214/105051607000000249zbMath1136.91010arXiv0710.3640MaRDI QIDQ2467599

Nebojsa Todorovic, Michael Kohler, Daniel Egloff

Publication date: 28 January 2008

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0710.3640

Mathematics Subject Classification ID

91G60: Numerical methods (including Monte Carlo methods)

62G05: Nonparametric estimation

65C05: Monte Carlo methods

93E24: Least squares and related methods for stochastic control systems

93E20: Optimal stochastic control

60G40: Stopping times; optimal stopping problems; gambling theory

91G20: Derivative securities (option pricing, hedging, etc.)

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