Least square regression methods for Bermudan derivatives and systems of functions

DOI10.1007/978-4-431-55489-9_3MaRDI QIDQ3463646zbMATH OpenOpenAlexFDO

Authors Shigeo Kusuoka, Yusuke Morimoto

Publication date 19 January 2016

Published in Advances in Mathematical Economics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-4-431-55489-9_3

zbMATH Keywords

Malliavin calculusoption pricingcomputational financeleast square regression methods

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Stopping times; optimal stopping problems; gambling theory (60G40)

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Cites work

• scientific article; zbMATH DE number 3907496 (Why is no real title available?)
• A quantization algorithm for solving multidimensional discrete-time optimal stopping problems
• A regression-based Monte Carlo method to solve backward stochastic differential equations
• An analysis of a least squares regression method for American option pricing
• Convex analysis and measurable multifunctions
• Pricing Bermudan options by nonparametric regression: optimal rates of convergence for lower estimates
• Stochastic mesh methods for Hörmander type diffusion processes
• Valuing American options by simulation: a simple least-squares approach

Cited in

(1)

• Implicit American Monte Carlo methods for nonlinear functional of future portfolio value

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