Enhanced policy iteration for American options via scenario selection

DOI10.1080/14697680701253013MaRDI QIDQ3498561zbMATH OpenOpenAlexFDO

Authors Christian Bender, A. A. Kolodko, John Schoenmakers

Publication date 15 May 2008

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL http://www.ssoar.info/ssoar/handle/document/22100

zbMATH Keywords

American-style derivative securitiesMonte Carlo methodsoptimal policiespricing of derivatives securities

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Monte Carlo methods (65C05) Microeconomic theory (price theory and economic markets) (91B24) Numerical methods (including Monte Carlo methods) (91G60)

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Cites work

• An iterative method for multiple stopping: convergence and stability
• Iterative construction of the optimal Bermudan stopping time
• Monte Carlo valuation of American options
• On the Malliavin approach to Monte Carlo approximation of conditional expectations
• Pricing American Options: A Duality Approach
• Upper Bounds for Bermudan Style Derivatives
• Valuing American options by simulation: a simple least-squares approach

Cited in

(7)

• A pure martingale dual for multiple stopping
• A policy iteration algorithm for the American put option and free boundary control problems
• Practical policy iteration: generic methods for obtaining rapid and tight bounds for Bermudan exotic derivatives using Monte Carlo simulation
• Multilevel simulation based policy iteration for optimal stopping -- convergence and complexity
• Multilevel dual approach for pricing American style derivatives
• Solving high-dimensional optimal stopping problems using deep learning
• Policy iteration for american options: overview

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