Least square regression methods for Bermudan derivatives and systems of functions
DOI10.1007/978-4-431-55489-9_3zbMATH Open1408.91234OpenAlexW2101369416MaRDI QIDQ3463646FDOQ3463646
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
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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)
Cites Work
- Convex analysis and measurable multifunctions
- A regression-based Monte Carlo method to solve backward stochastic differential equations
- A quantization algorithm for solving multidimensional discrete-time optimal stopping problems
- An analysis of a least squares regression method for American option pricing
- Title not available (Why is that?)
- Valuing American options by simulation: a simple least-squares approach
- Pricing Bermudan options by nonparametric regression: optimal rates of convergence for lower estimates
- Stochastic mesh methods for Hörmander type diffusion processes
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