Multilevel dual approach for pricing American style derivatives
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Publication:377450
DOI10.1007/s00780-013-0208-5zbMath1310.91142OpenAlexW2120301464MaRDI QIDQ377450
Denis Belomestny, Fabian Dickmann, John G. M. 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
Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)
Related Items (16)
A PRIMAL–DUAL ALGORITHM FOR BSDES ⋮ Regression-Based Complexity Reduction of the Nested Monte Carlo Methods ⋮ Multilevel Simulation Based Policy Iteration for Optimal Stopping--Convergence and Complexity ⋮ Unbiased optimal stopping via the MUSE ⋮ Fast estimation of true bounds on Bermudan option prices under jump-diffusion processes ⋮ Analytic solution for American barrier options with two barriers ⋮ Discrete-type approximations for non-Markovian optimal stopping problems. II ⋮ Multilevel simulation of functionals of Bernoulli random variables with application to basket credit derivatives ⋮ Recursive lower and dual upper bounds for Bermudan-style options ⋮ Deep optimal stopping ⋮ An introduction to multilevel Monte Carlo for option valuation ⋮ Addendum to: ``Multilevel dual approach for pricing American style derivatives ⋮ From Rough Path Estimates to Multilevel Monte Carlo ⋮ Analysing the bias in the primal-dual upper bound method for early exercisable derivatives: bounds, estimation and removal ⋮ Pricing Bermudan Options via Multilevel Approximation Methods ⋮ Solving high-dimensional optimal stopping problems using deep learning
Uses Software
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