A regression-based smoothing spline Monte Carlo algorithm for pricing American options in discrete time

DOI10.1007/s10182-008-0067-0zbMath1477.62295MaRDI QIDQ2006839

Yanyan Li

Publication date: 12 October 2020

Published in: AStA. Advances in Statistical Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10182-008-0067-0

zbMATH Keywords

rate of convergence; consistency; optimal stopping; smoothing spline; American options; nonparametric regression; regression based Monte Carlo methods

Mathematics Subject Classification ID

62G08: Nonparametric regression and quantile regression

62P05: Applications of statistics to actuarial sciences and financial mathematics

91G60: Numerical methods (including Monte Carlo methods)

60G40: Stopping times; optimal stopping problems; gambling theory

91G20: Derivative securities (option pricing, hedging, etc.)

Related Items

Solving high-dimensional optimal stopping problems using deep learning, Pricing of American options in discrete time using least squares estimates with complexity penalties, Analysis of least squares regression estimates in case of additional errors in the variables, Regression Monte Carlo for impulse control

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