TRUE UPPER BOUNDS FOR BERMUDAN PRODUCTS VIA NON‐NESTED MONTE CARLO

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Cites work

A numerical scheme for BSDEs
Asymptotic properties of Monte Carlo estimators of derivatives
Iterative construction of the optimal Bermudan stopping time
Monte Carlo construction of hedging strategies against multi-asset European claims
Monte Carlo valuation of American options
Pricing American Options: A Duality Approach
Rate of convergence of an empirical regression method for solving generalized backward stochastic differential equations
Robust Libor Modelling and Pricing of Derivative Products
The duality of optimal exercise and domineering claims: a Doob–Meyer decomposition approach to the Snell envelope
Time discretization and Markovian iteration for coupled FBSDEs
Upper Bounds for Bermudan Style Derivatives
Valuation of the early-exercise price for options using simulations and nonparametric regression

Cited in

(34)

Primal-dual linear Monte Carlo algorithm for multiple stopping -- an application to flexible caps
Analysing the bias in the primal-dual upper bound method for early exercisable derivatives: bounds, estimation and removal
Dual pricing of multi-exercise options under volume constraints
On minimax duality in optimal stopping
From optimal martingales to randomized dual optimal stopping
Upper Bounds for Bermudan Style Derivatives
Primal-dual quasi-Monte Carlo simulation with dimension reduction for pricing American options
Deep neural network expressivity for optimal stopping problems
An algorithmic approach to optimal asset liquidation problems
Dual pricing of American options by Wiener chaos expansion
Smooth upper bounds for the price function of American style options
A pure martingale dual for multiple stopping
Practical policy iteration: generic methods for obtaining rapid and tight bounds for Bermudan exotic derivatives using Monte Carlo simulation
A primal-dual algorithm for BSDEs
On the compensator in the Doob-Meyer decomposition of the Snell envelope
Deep optimal stopping
Fast estimation of true bounds on Bermudan option prices under jump-diffusion processes
Multilevel dual approach for pricing American style derivatives
Regression-based complexity reduction of the nested Monte Carlo methods
On the primal-dual algorithm for callable bermudan options
Optimal stopping under uncertainty in drift and jump intensity
Sensitivities for Bermudan options by regression methods
The longstaff-Schwartz algorithm for Lévy models: results on fast and slow convergence
Primal-Dual Regression Approach for Markov Decision Processes with General State and Action Spaces
Optimal search for parameters in Monte Carlo simulation for derivative pricing
Upper bounds for Bermudan options on Markovian data using nonparametric regression and a reduced number of nested Monte Carlo steps
Solving optimal stopping problems via empirical dual optimization
A deep learning approach for computations of exposure profiles for high-dimensional Bermudan options
Monte-Carlo valuation of American options: facts and new algorithms to improve existing methods
Importance sampling for backward SDEs
Optimal dual martingales, their analysis, and application to new algorithms for Bermudan products
Solving high-dimensional optimal stopping problems using deep learning
Effective sub-simulation-free upper bounds for the Monte Carlo pricing of callable derivatives and various improvements to existing methodologies
Counterparty credit exposures for interest rate derivatives using the stochastic grid bundling method

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