TRUE UPPER BOUNDS FOR BERMUDAN PRODUCTS VIA NON‐NESTED MONTE CARLO
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Publication:3608735
DOI10.1111/J.1467-9965.2008.00357.XzbMATH Open1155.91376OpenAlexW2339568487MaRDI QIDQ3608735FDOQ3608735
Authors: D. Belomestny, Christian Bender, John Schoenmakers 
Publication date: 6 March 2009
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1467-9965.2008.00357.x
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Cites Work
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- Iterative construction of the optimal Bermudan stopping time
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Cited In (33)
- Primal–dual quasi-Monte Carlo simulation with dimension reduction for pricing American options
- On the Compensator in the Doob--Meyer Decomposition of the Snell Envelope
- Deep neural network expressivity for optimal stopping problems
- Practical policy iteration: generic methods for obtaining rapid and tight bounds for Bermudan exotic derivatives using Monte Carlo simulation
- Importance sampling for backward SDEs
- Monte-Carlo Valuation of American Options: Facts and New Algorithms to Improve Existing Methods
- Upper bounds for Bermudan options on Markovian data using nonparametric regression and a reduced number of nested Monte Carlo steps
- On minimax duality in optimal stopping
- An algorithmic approach to optimal asset liquidation problems
- Primal–dual linear Monte Carlo algorithm for multiple stopping—an application to flexible caps
- A pure martingale dual for multiple stopping
- Solving optimal stopping problems via empirical dual optimization
- Effective sub-simulation-free upper bounds for the Monte Carlo pricing of callable derivatives and various improvements to existing methodologies
- Dual pricing of multi-exercise options under volume constraints
- Fast estimation of true bounds on Bermudan option prices under jump-diffusion processes
- Optimal search for parameters in Monte Carlo simulation for derivative pricing
- Optimal Stopping Under Uncertainty in Drift and Jump Intensity
- Primal-Dual Regression Approach for Markov Decision Processes with General State and Action Spaces
- A deep learning approach for computations of exposure profiles for high-dimensional Bermudan options
- Dual Pricing of American Options by Wiener Chaos Expansion
- On the primal-dual algorithm for callable bermudan options
- Analysing the bias in the primal-dual upper bound method for early exercisable derivatives: bounds, estimation and removal
- Sensitivities for Bermudan options by regression methods
- Upper Bounds for Bermudan Style Derivatives
- From optimal martingales to randomized dual optimal stopping
- Regression-Based Complexity Reduction of the Nested Monte Carlo Methods
- Solving high-dimensional optimal stopping problems using deep learning
- Multilevel dual approach for pricing American style derivatives
- A PRIMAL–DUAL ALGORITHM FOR BSDES
- Counterparty Credit Exposures for Interest Rate Derivatives using the Stochastic Grid Bundling Method
- Deep optimal stopping
- The longstaff-Schwartz algorithm for Lévy models: results on fast and slow convergence
- SMOOTH UPPER BOUNDS FOR THE PRICE FUNCTION OF AMERICAN STYLE OPTIONS
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