Nearest neighbor based estimation technique for pricing Bermudan options

DOI10.1142/S0219198915400022MaRDI QIDQ5245032zbMATH OpenFDO

Authors Ankush Agarwal, S. Juneja

Publication date 1 April 2015

Published in International Game Theory Review (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1142/S0219198915400022

zbMATH Keywords

Bermudan optiondynamic programmingHoeffding's inequalitynearest neighbor estimation

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)

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Cites work

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• Localization and exact simulation of Brownian motion-driven stochastic differential equations
• Martingales and arbitrage in multiperiod securities markets
• Nonparametric statistics for stochastic processes. Estimation and prediction.
• Pricing American-style securities using simulation
• Pricing Bermudan options by nonparametric regression: optimal rates of convergence for lower estimates
• Pricing of high-dimensional American options by neural networks
• The pricing of options and corporate liabilities
• Valuation of the early-exercise price for options using simulations and nonparametric regression
• Valuing American options by simulation: a simple least-squares approach

Cited in

(1)

• American options under stochastic volatility: control variates, maturity randomization \& multiscale asymptotics

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