Pricing of American options in discrete time using least squares estimates with complexity penalties
DOI10.1016/J.JSPI.2012.02.031zbMATH Open1244.62149OpenAlexW2059927071MaRDI QIDQ433745FDOQ433745
Authors: Michael Kohler, Adam Krzyżak 
Publication date: 6 July 2012
Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jspi.2012.02.031
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Cites Work
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- A Measure of Asymptotic Efficiency for Tests of a Hypothesis Based on the sum of Observations
- Monte Carlo algorithms for optimal stopping and statistical learning
- A dynamic look-ahead Monte Carlo algorithm for pricing Bermudan options
- Pricing of high-dimensional American options by neural networks
- Optimal stopping of Markov processes: Hilbert space theory, approximation algorithms, and an application to pricing high-dimensional financial derivatives
- Pricing Bermudan options by nonparametric regression: optimal rates of convergence for lower estimates
- Mathematics of financial markets
- Least squares estimation with complexity penalties
- A regression-based smoothing spline Monte Carlo algorithm for pricing American options in discrete time
- Nonparametric regression with additional measurement errors in the dependent variable
- Application of kernel-based stochastic gradient algorithms to option pricing
- Upper bounds for Bermudan options on Markovian data using nonparametric regression and a reduced number of nested Monte Carlo steps
- The valuation of American options using regression based Monte-Carlo methods.
- Multivariate orthogonal series estimates for random design regression
Cited In (10)
- Pricing complexity options
- Smoothing spline regression estimation based on real and artificial data
- Second-order integro-differential parabolic variational inequalities arising from the valuation of American option
- Estimation of a density using an improved surrogate model
- The valuation of American options using regression based Monte-Carlo methods.
- A regression-based smoothing spline Monte Carlo algorithm for pricing American options in discrete time
- Solving high-dimensional optimal stopping problems using deep learning
- The early exercise premium in American options by using nonparametric regressions
- On the consistency of regression-based Monte Carlo methods for pricing Bermudan options in case of estimated financial models
- Pricing of high-dimensional American options by neural networks
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