Improved lower and upper bound algorithms for pricing American options by simulation
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Publication:3605244
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- Pricing and hedging American-style options: a simple simulation-based approach
Cites work
- scientific article; zbMATH DE number 1255542 (Why is no real title available?)
- A Simple Derivation of and Improvements to Jamshidian's and Rogers' Upper Bound Methods for Bermudan Options
- Monte Carlo methods for security pricing
- Monte Carlo valuation of American options
- Optimal stopping of Markov processes: Hilbert space theory, approximation algorithms, and an application to pricing high-dimensional financial derivatives
- Pricing American Options: A Duality Approach
- Pricing American-style securities using simulation
- Valuation of the early-exercise price for options using simulations and nonparametric regression
- Valuing American options by simulation: a simple least-squares approach
Cited in
(38)- Efficient willow tree method for European-style and American-style moving average barrier options pricing
- Lower bounds for American option prices with control variates
- Relationship between least squares Monte Carlo and approximate linear programming
- Comparison of least squares Monte Carlo methods with applications to energy real options
- Practical policy iteration: generic methods for obtaining rapid and tight bounds for Bermudan exotic derivatives using Monte Carlo simulation
- Evaluation of gas sales agreements with indexation using tree and least-squares Monte Carlo methods on graphics processing units
- Variance reduction techniques for pricing American options using function approximations
- Generic improvements to least squares Monte Carlo methods with applications to optimal stopping problems
- A lattice algorithm for pricing moving average barrier options
- Deep learning for ranking response surfaces with applications to optimal stopping problems
- Calculation of exposure profiles and sensitivities of options under the Heston and the Heston Hull-White models
- Simple improvement method for upper bound of American option
- The difference between LSMC and replicating portfolio in insurance liability modeling
- Effective sub-simulation-free upper bounds for the Monte Carlo pricing of callable derivatives and various improvements to existing methodologies
- Primal-dual quasi-Monte Carlo simulation with dimension reduction for pricing American options
- Computation of conditional expectations with guarantees
- Laplace bounds approximation for American options
- Valuation of American strangles through an optimized lower-upper bound approach
- Algorithmic counterparty credit exposure for multi-asset Bermudan options
- A new class of dual upper bounds for early exercisable derivatives encompassing both the additive and multiplicative bounds
- Moving average options: machine learning and Gauss-Hermite quadrature for a double non-Markovian problem
- Simulation Based Option Pricing
- A deep learning approach for computations of exposure profiles for high-dimensional Bermudan options
- Deep learning for CVA computations of large portfolios of financial derivatives
- Enhanced Tilley's bundling algorithm using memory reduction Monte Carlo method
- On the primal-dual algorithm for callable bermudan options
- Explainable neural network for pricing and universal static hedging of contingent claims
- Analysing the bias in the primal-dual upper bound method for early exercisable derivatives: bounds, estimation and removal
- Asymmetric Variance Reduction for Pricing American Options
- Pricing high-dimensional Bermudan options using the stochastic grid method
- An improved simulation method for pricing high-dimensional American derivatives.
- Pricing Bermudan options using low-discrepancy mesh methods
- Solving high-dimensional optimal stopping problems using deep learning
- Multilevel dual approach for pricing American style derivatives
- Recursive lower and dual upper bounds for Bermudan-style options
- The stochastic grid bundling method: efficient pricing of Bermudan options and their Greeks
- Deep optimal stopping
- A deep learning method for pricing high-dimensional American-style options via state-space partition
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