An analysis of a least squares regression method for American option pricing
From MaRDI portal
Publication:1424693
DOI10.1007/s007800200071zbMath1039.91020OpenAlexW2072274284MaRDI QIDQ1424693
Damien Lamberton, Emmanuelle Clément, Philip E. Protter
Publication date: 16 March 2004
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s007800200071
Optimal stochastic control (93E20) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)
Related Items (only showing first 100 items - show all)
Model-free analysis of real option exercise probability and timing ⋮ Pricing Bermudan Options Using Regression Trees/Random Forests ⋮ On fair designs of c<scp>ross‐chain</scp> exchange for cryptocurrencies via Monte Carlo simulation ⋮ Unnamed Item ⋮ Reference policies for non-myopic sequential network design and timing problems ⋮ Robust utility maximization under model uncertainty via a penalization approach ⋮ Endogenous trading in credit default swaps ⋮ Macroeconomic implications of term structures of interest rates under stochastic differential utility with non-unitary EIS ⋮ Inside the Solvency 2 black box: net asset values and solvency capital requirements with a least-squares Monte-Carlo approach ⋮ Algorithms for Optimal Control of Stochastic Switching Systems ⋮ A convergent quadratic-time lattice algorithm for pricing European-style Asian options ⋮ The valuation of multidimensional American real options using the LSM simulation method ⋮ Least Square Regression Methods for Bermudan Derivatives and Systems of Functions ⋮ The Parareal Algorithm for American Options ⋮ A least-squares Monte Carlo approach to the estimation of enterprise risk ⋮ An Introduction to Particle Methods with Financial Applications ⋮ Monte Carlo Approximations of American Options that Preserve Monotonicity and Convexity ⋮ Monte-Carlo Valuation of American Options: Facts and New Algorithms to Improve Existing Methods ⋮ A simulation-and-regression approach for stochastic dynamic programs with endogenous state variables ⋮ The parareal algorithm for American options ⋮ American Option Pricing Using Simulation and Regression: Numerical Convergence Results ⋮ On the primal-dual algorithm for callable bermudan options ⋮ Quantitative error estimates for a least-squares Monte Carlo algorithm for American option pricing ⋮ JDOI variance reduction method and the pricing of American-style options ⋮ Variance reduction for risk measures with importance sampling in nested simulation ⋮ On the investment strategies in occupational pension plans ⋮ American Option Sensitivities Estimation via a Generalized Infinitesimal Perturbation Analysis Approach ⋮ Sensitivities for Bermudan options by regression methods ⋮ ESTIMATING RESIDUAL HEDGING RISK WITH LEAST-SQUARES MONTE CARLO ⋮ Sequential Design for Optimal Stopping Problems ⋮ Efficient algorithms of pathwise dynamic programming for decision optimization in mining operations ⋮ Regression-Based Complexity Reduction of the Nested Monte Carlo Methods ⋮ A Longstaff and Schwartz approach to the early election problem ⋮ Pricing and risk of swing contracts in natural gas markets ⋮ On the stability the least squares Monte Carlo ⋮ An improved least squares Monte Carlo valuation method based on heteroscedasticity ⋮ On the rates of convergence of simulation-based optimization algorithms for optimal stopping problems ⋮ Mixing LSMC and PDE Methods to Price Bermudan Options ⋮ Forest of stochastic meshes: a new method for valuing high-dimensional swing options ⋮ On the methods of pricing American options: case study ⋮ EXPLICIT HESTON SOLUTIONS AND STOCHASTIC APPROXIMATION FOR PATH-DEPENDENT OPTION PRICING ⋮ Canonical least-squares Monte Carlo valuation of American options: convergence and empirical pricing analysis ⋮ Discrete-type approximations for non-Markovian optimal stopping problems. II ⋮ ON THE CALCULATION OF RISK MEASURES USING LEAST-SQUARES MONTE CARLO ⋮ Primal–dual quasi-Monte Carlo simulation with dimension reduction for pricing American options ⋮ Valuation of life insurance surrender and exchange options ⋮ VALUATION OF CONTINGENT GUARANTEES USING LEAST-SQUARES MONTE CARLO ⋮ Regression-based algorithms for life insurance contracts with surrender guarantees ⋮ Pricing Bermudan options by nonparametric regression: optimal rates of convergence for lower estimates ⋮ CONVERGENCE OF A LEAST‐SQUARES MONTE CARLO ALGORITHM FOR AMERICAN OPTION PRICING WITH DEPENDENT SAMPLE DATA ⋮ Neural network regression for Bermudan option pricing ⋮ A dynamic look-ahead Monte Carlo algorithm for pricing Bermudan options ⋮ An analysis of asymptotic properties and error control under the exponential jump-diffusion model for American option pricing ⋮ Convergence and biases of Monte Carlo estimates of American option prices using a parametric exercise rule ⋮ An irregular grid approach for pricing high-dimensional American options ⋮ Hedging using simulation: a least squares approach ⋮ PRICING OF THE AMERICAN PUT UNDER LÉVY PROCESSES ⋮ Time discretization and Markovian iteration for coupled FBSDEs ⋮ PRICING OF HIGH-DIMENSIONAL AMERICAN OPTIONS BY NEURAL NETWORKS ⋮ The longstaff-Schwartz algorithm for Lévy models: results on fast and slow convergence ⋮ A pure martingale dual for multiple stopping ⋮ Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations ⋮ Representations and regularities for solutions to BSDEs with reflections ⋮ American option pricing under stochastic volatility: an efficient numerical approach ⋮ Monte Carlo methods via a dual approach for some discrete time stochastic control problems ⋮ Efficient pricing of discrete Asian options ⋮ A martingale control variate method for option pricing with stochastic volatility ⋮ A perturbative approach to Bermudan options pricing with applications ⋮ Sequential Monte Carlo pricing of American-style options under stochastic volatility models ⋮ Monte Carlo algorithms for optimal stopping and statistical learning ⋮ On regression-based stopping times ⋮ MONTE CARLO METHODS FOR THE VALUATION OF MULTIPLE‐EXERCISE OPTIONS ⋮ On the convergence of the quasi-regression method: polynomial chaos and regularity ⋮ XVA PRINCIPLES, NESTED MONTE CARLO STRATEGIES, AND GPU OPTIMIZATIONS ⋮ Expected utility and catastrophic risk in a stochastic economy-climate model ⋮ A quasi-analytical interpolation method for pricing American options under general multi-dimensional diffusion processes ⋮ Pricing life insurance contracts with early exercise features ⋮ Pricing Asset Scheduling Flexibility using Optimal Switching ⋮ Valuing portfolios of interdependent real options using influence diagrams and simulation-and-regression: a multi-stage stochastic integer programming approach ⋮ OPTIMAL MULTIPLE STOPPING AND VALUATION OF SWING OPTIONS ⋮ Discrete-time approximation for continuously and discretely reflected BSDEs ⋮ AMERICAN OPTION PRICING WITH REGRESSION: CONVERGENCE ANALYSIS ⋮ American option pricing under GARCH diffusion model: an empirical study ⋮ A QUANTIZATION TREE METHOD FOR PRICING AND HEDGING MULTIDIMENSIONAL AMERICAN OPTIONS ⋮ Pricing bounds and bang-bang analysis of the Polaris variable annuities ⋮ Optimal Stopping Under Uncertainty in Drift and Jump Intensity ⋮ BRANCHING PARTICLE PRICERS WITH HESTON EXAMPLES ⋮ General Error Estimates for the Longstaff–Schwartz Least-Squares Monte Carlo Algorithm ⋮ An efficient implementation of a least squares Monte Carlo method for valuing American-style options ⋮ On improving the least squares Monte Carlo option valuation method ⋮ Convergence of a Least‐Squares Monte Carlo Algorithm for Bounded Approximating Sets ⋮ Regression methods in pricing American and Bermudan options using consumption processes ⋮ MONTE CARLO EVALUATION OF AMERICAN OPTIONS USING CONSUMPTION PROCESSES ⋮ Generative Bayesian neural network model for risk-neutral pricing of American index options ⋮ Simulation-based Value-at-Risk for nonlinear portfolios ⋮ Discrete dividends and the FTSE-100 index options valuation ⋮ Regression-based Monte Carlo methods for stochastic control models: variable annuities with lifelong guarantees ⋮ A regression-based Monte Carlo method to solve backward stochastic differential equations ⋮ Discrete-Time Approximation of Decoupled Forward‒Backward Stochastic Differential Equations Driven by Pure Jump Lévy Processes ⋮ Error analysis of the optimal quantization algorithm for obstacle problems.
This page was built for publication: An analysis of a least squares regression method for American option pricing
