Multilevel dual approach for pricing American style derivatives
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Publication:377450
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Cites work
- scientific article; zbMATH DE number 934464 (Why is no real title available?)
- A Simple Derivation of and Improvements to Jamshidian's and Rogers' Upper Bound Methods for Bermudan Options
- A quantization algorithm for solving multidimensional discrete-time optimal stopping problems
- Enhanced policy iteration for American options via scenario selection
- Improved lower and upper bound algorithms for pricing American options by simulation
- Iterative construction of the optimal Bermudan stopping time
- Monte Carlo valuation of American options
- Multilevel Monte Carlo Path Simulation
- Optimal dual martingales, their analysis, and application to new algorithms for Bermudan products
- Pricing American Options: A Duality Approach
- Pricing Bermudan options by nonparametric regression: optimal rates of convergence for lower estimates
- Robust Libor Modelling and Pricing of Derivative Products
- TRUE UPPER BOUNDS FOR BERMUDAN PRODUCTS VIA NON‐NESTED MONTE CARLO
- Upper Bounds for Bermudan Style Derivatives
- 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
(22)- Pricing American Options: A Duality Approach
- Primal-dual linear Monte Carlo algorithm for multiple stopping -- an application to flexible caps
- Recursive lower and dual upper bounds for Bermudan-style options
- Analysing the bias in the primal-dual upper bound method for early exercisable derivatives: bounds, estimation and removal
- Multilevel simulation of functionals of Bernoulli random variables with application to basket credit derivatives
- Unbiased optimal stopping via the MUSE
- Multilevel simulation based policy iteration for optimal stopping -- convergence and complexity
- Dual pricing of American options by Wiener chaos expansion
- Addendum to: ``Multilevel dual approach for pricing American style derivatives
- A deep learning method for pricing high-dimensional American-style options via state-space partition
- A pure martingale dual for multiple stopping
- A primal-dual algorithm for BSDEs
- Deep optimal stopping
- Fast estimation of true bounds on Bermudan option prices under jump-diffusion processes
- Pricing Bermudan Options via Multilevel Approximation Methods
- Regression-based complexity reduction of the nested Monte Carlo methods
- A multilevel Monte Carlo algorithm for stochastic differential equations driven by countably dimensional Wiener process and Poisson random measure
- An introduction to multilevel Monte Carlo for option valuation
- Discrete-type approximations for non-Markovian optimal stopping problems. II
- From rough path estimates to multilevel Monte Carlo
- Solving high-dimensional optimal stopping problems using deep learning
- Analytic solution for American barrier options with two barriers
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