Upper bounds for Bermudan options on Markovian data using nonparametric regression and a reduced number of nested Monte Carlo steps

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Publication:5191261

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DOI10.1524/stnd.2008.1014zbMath1171.91341OpenAlexW1986310137MaRDI QIDQ5191261

Adam Krzyżak, Michael Kohler, Harro Walk

Publication date: 29 July 2009

Published in: Statistics & Decisions (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/51e25e2937b82499bfd8516d9fc1c486dcbfdf43

zbMATH Keywords

consistency American options nonparametric regression dual method regression-based Monte Carlo methods

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Statistical methods; risk measures (91G70) Monte Carlo methods (65C05) Least squares and related methods for stochastic control systems (93E24) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (2)

Pricing of American options in discrete time using least squares estimates with complexity penalties ⋮ Solving high-dimensional optimal stopping problems using deep learning

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