A dynamic look-ahead Monte Carlo algorithm for pricing Bermudan options

DOI10.1214/105051607000000249zbMath1136.91010arXiv0710.3640OpenAlexW2019703483MaRDI QIDQ2467599

Nebojsa Todorovic, Michael Kohler, Daniel Egloff

Publication date: 28 January 2008

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0710.3640

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Nonparametric estimation (62G05) Monte Carlo methods (65C05) Least squares and related methods for stochastic control systems (93E24) Optimal stochastic control (93E20) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)

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