Pricing high-dimensional Bermudan options using the stochastic grid method (Q4903543)
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scientific article; zbMATH DE number 6127881
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| English | Pricing high-dimensional Bermudan options using the stochastic grid method |
scientific article; zbMATH DE number 6127881 |
Statements
Pricing high-dimensional Bermudan options using the stochastic grid method (English)
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22 January 2013
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Amrican options
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high dimensional
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Monte Carlo
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Gram Charlier
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stochastic grid method
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regression
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stochastic mesh method
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least squares method (LSM)
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Bermudan options
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0.867144763469696
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0.8183830380439758
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0.8075817227363586
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0.8011609315872192
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0.7999165654182434
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