A numerical method for hedging Bermudan options under model uncertainty

DOI10.1007/S11009-021-09901-6MaRDI QIDQ2152245zbMATH OpenOpenAlexFDO

Authors 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

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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