Pricing high-dimensional Bermudan options using the stochastic grid method

DOI10.1080/00207160.2012.690035zbMath1255.91430MaRDI QIDQ4903543

Shashi Jain, Cornelis W. Oosterlee

Publication date: 22 January 2013

Published in: International Journal of Computer Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00207160.2012.690035

zbMATH Keywords

Monte Carlo; regression; high dimensional; Bermudan options; stochastic mesh method; least squares method (LSM); Amrican options; Gram Charlier; stochastic grid method

Mathematics Subject Classification ID

62P05: Applications of statistics to actuarial sciences and financial mathematics

91G60: Numerical methods (including Monte Carlo methods)

65C05: Monte Carlo methods

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

65C30: Numerical solutions to stochastic differential and integral equations

Related Items

A Longstaff and Schwartz approach to the early election problem, EFFICIENT COMPUTATION OF EXPOSURE PROFILES FOR COUNTERPARTY CREDIT RISK

Cites Work

• Unnamed Item
• A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions
• Monte Carlo algorithms for optimal stopping and statistical learning
• An irregular grid approach for pricing high-dimensional American options
• Valuation of the early-exercise price for options using simulations and nonparametric regression
• Monte Carlo methods for security pricing
• Pricing American-style securities using simulation
• Regression Methods for Stochastic Control Problems and Their Convergence Analysis
• Convergence of a Least‐Squares Monte Carlo Algorithm for Bounded Approximating Sets
• Improved lower and upper bound algorithms for pricing American options by simulation
• Pricing American Options: A Duality Approach
• Optimal stopping of Markov processes: Hilbert space theory, approximation algorithms, and an application to pricing high-dimensional financial derivatives
• Monte Carlo valuation of American options
• A Fast and Accurate FFT-Based Method for Pricing Early-Exercise Options under Lévy Processes
• Valuing American Options by Simulation: A Simple Least-Squares Approach
• A STATE‐SPACE PARTITIONING METHOD FOR PRICING HIGH‐DIMENSIONAL AMERICAN‐STYLE OPTIONS
• A QUANTIZATION TREE METHOD FOR PRICING AND HEDGING MULTIDIMENSIONAL AMERICAN OPTIONS
• The Greatest of a Finite Set of Random Variables
• Policy iteration for american options: overview