Implied stopping rules for American basket options from Markovian projection

DOI10.1080/14697688.2018.1481290zbMath1420.91446arXiv1705.00558OpenAlexW2610526987WikidataQ129478364 ScholiaQ129478364MaRDI QIDQ5234298

Raúl Tempone, Christian Bayer, Juho Häppölä

Publication date: 26 September 2019

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1705.00558

zbMATH Keywords

Monte Carlooptimal stoppingerror boundsBlack-Scholesbasket optionMarkovian projectionHamilton-Jabcobi-Bellman

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (3)

Low-Dimensional Approximations of High-Dimensional Asset Price Models ⋮ Solving high-dimensional optimal stopping problems using deep learning ⋮ Solving High-Dimensional Optimal Stopping Problems Using Optimization Based Model Order Reduction

Uses Software

• GitHub
• Quantlib
• QuantLib

Cites Work

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