Pricing high-dimensional Bermudan options using the stochastic grid method
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Amrican optionsBermudan optionsGram Charlierhigh dimensionalleast squares method (LSM)Monte Carloregressionstochastic grid methodstochastic mesh method
Stopping times; optimal stopping problems; gambling theory (60G40) Applications of statistics to actuarial sciences and financial mathematics (62P05) Monte Carlo methods (65C05) Numerical solutions to stochastic differential and integral equations (65C30) Numerical methods (including Monte Carlo methods) (91G60)
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Cites work
- A Fast and Accurate FFT-Based Method for Pricing Early-Exercise Options under Lévy Processes
- A novel pricing method for European options based on Fourier-cosine series expansions
- A QUANTIZATION TREE METHOD FOR PRICING AND HEDGING MULTIDIMENSIONAL AMERICAN OPTIONS
- A STATE‐SPACE PARTITIONING METHOD FOR PRICING HIGH‐DIMENSIONAL AMERICAN‐STYLE OPTIONS
- An irregular grid approach for pricing high-dimensional American options
- Convergence of a Least‐Squares Monte Carlo Algorithm for Bounded Approximating Sets
- scientific article; zbMATH DE number 3354369 (Why is no real title available?)
- Improved lower and upper bound algorithms for pricing American options by simulation
- Monte Carlo algorithms for optimal stopping and statistical learning
- Monte Carlo methods for security pricing
- Monte Carlo valuation of American options
- Optimal stopping of Markov processes: Hilbert space theory, approximation algorithms, and an application to pricing high-dimensional financial derivatives
- Policy iteration for american options: overview
- Pricing American Options: A Duality Approach
- Pricing American-style securities using simulation
- Regression methods for stochastic control problems and their convergence analysis
- The Greatest of a Finite Set of Random Variables
- 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
(20)- A Longstaff and Schwartz approach to the early election problem
- Multigrid method for pricing European options under the CGMY process
- Pricing Bermudan options under Merton jump-diffusion asset dynamics
- Efficient computation of exposure profiles for counterparty credit risk
- Valuation of Multidimensional Bermudan Options
- A Nonintrusive Stratified Resampler for Regression Monte Carlo: Application to Solving Nonlinear Equations
- Efficient exposure computation by risk factor decomposition
- Machine learning for pricing American options in high-dimensional Markovian and non-Markovian models
- Solving high-dimensional optimal stopping problems using deep learning
- JDOI variance reduction method and the pricing of American-style options
- Mixing LSMC and PDE methods to price Bermudan options
- Pricing Bermudan Options via Multilevel Approximation Methods
- Pricing Bermudan options using low-discrepancy mesh methods
- Pricing High-Dimensional Bermudan Options with Hierarchical Tensor Formats
- Unbiased optimal stopping via the MUSE
- A deep learning method for pricing high-dimensional American-style options via state-space partition
- Efficient parallel Monte-Carlo techniques for pricing American options including counterparty credit risk
- The stochastic grid bundling method: efficient pricing of Bermudan options and their Greeks
- Change of measure in a Heston-Hawkes stochastic volatility model
- An irregular grid approach for pricing high-dimensional American options
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