Multilevel dual approach for pricing American style derivatives
DOI10.1007/S00780-013-0208-5zbMATH Open1310.91142OpenAlexW2120301464MaRDI QIDQ377450FDOQ377450
Authors: D. Belomestny, Fabian Dickmann, John Schoenmakers 
Publication date: 6 November 2013
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00780-013-0208-5
Recommendations
- Regression-based complexity reduction of the nested Monte Carlo methods
- Pricing American Options: A Duality Approach
- Addendum to: ``Multilevel dual approach for pricing American style derivatives
- Pricing Bermudan Options via Multilevel Approximation Methods
- A pure martingale dual for multiple stopping
Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Stopping times; optimal stopping problems; gambling theory (60G40)
Cites Work
- Multilevel Monte Carlo Path Simulation
- A quantization algorithm for solving multidimensional discrete-time optimal stopping problems
- Valuing American options by simulation: a simple least-squares approach
- Monte Carlo valuation of American options
- TRUE UPPER BOUNDS FOR BERMUDAN PRODUCTS VIA NON‐NESTED MONTE CARLO
- Valuation of the early-exercise price for options using simulations and nonparametric regression
- Robust Libor Modelling and Pricing of Derivative Products
- Pricing Bermudan options by nonparametric regression: optimal rates of convergence for lower estimates
- Iterative construction of the optimal Bermudan stopping time
- Optimal dual martingales, their analysis, and application to new algorithms for Bermudan products
- Enhanced policy iteration for American options via scenario selection
- Improved lower and upper bound algorithms for pricing American options by simulation
- Pricing American Options: A Duality Approach
- Upper Bounds for Bermudan Style Derivatives
- Title not available (Why is that?)
- A Simple Derivation of and Improvements to Jamshidian's and Rogers' Upper Bound Methods for Bermudan Options
Cited In (22)
- Discrete-type approximations for non-Markovian optimal stopping problems. II
- Multilevel simulation based policy iteration for optimal stopping -- convergence and complexity
- Dual pricing of American options by Wiener chaos expansion
- A primal-dual algorithm for BSDEs
- A pure martingale dual for multiple stopping
- Regression-based complexity reduction of the nested Monte Carlo methods
- Unbiased optimal stopping via the MUSE
- Analytic solution for American barrier options with two barriers
- Fast estimation of true bounds on Bermudan option prices under jump-diffusion processes
- Primal-dual linear Monte Carlo algorithm for multiple stopping -- an application to flexible caps
- Pricing American Options: A Duality Approach
- Pricing Bermudan Options via Multilevel Approximation Methods
- A multilevel Monte Carlo algorithm for stochastic differential equations driven by countably dimensional Wiener process and Poisson random measure
- Analysing the bias in the primal-dual upper bound method for early exercisable derivatives: bounds, estimation and removal
- From rough path estimates to multilevel Monte Carlo
- Multilevel simulation of functionals of Bernoulli random variables with application to basket credit derivatives
- Addendum to: ``Multilevel dual approach for pricing American style derivatives
- Solving high-dimensional optimal stopping problems using deep learning
- Recursive lower and dual upper bounds for Bermudan-style options
- Deep optimal stopping
- A deep learning method for pricing high-dimensional American-style options via state-space partition
- An introduction to multilevel Monte Carlo for option valuation
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