A numerical method for hedging Bermudan options under model uncertainty

DOI10.1007/S11009-021-09901-6zbMATH Open1489.91265OpenAlexW3217697993MaRDI QIDQ2152245FDOQ2152245

Junichi Imai

Publication date: 7 July 2022

Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11009-021-09901-6

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zbMATH Keywords

model uncertaintyapproximate dynamic programmingfinancial modelingderivatives hedging

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Applications of mathematical programming (90C90) Numerical methods (including Monte Carlo methods) (91G60)

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Cited In (3)

• Numerical valuation of Bermudan basket options via partial differential equations
• Upper bounds for Bermudan options on Markovian data using nonparametric regression and a reduced number of nested Monte Carlo steps
• Statistical evaluation of a long-memory process using the generalized entropic value-at-risk

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