Pricing Bermudan options by nonparametric regression: optimal rates of convergence for lower estimates
From MaRDI portal
Publication:484205
DOI10.1007/s00780-010-0132-xzbMath1303.91166arXiv0907.5599OpenAlexW2100201113MaRDI QIDQ484205
Publication date: 18 December 2014
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/0907.5599
Nonparametric regression and quantile regression (62G08) 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 (30)
A PRIMAL–DUAL ALGORITHM FOR BSDES ⋮ Least Square Regression Methods for Bermudan Derivatives and Systems of Functions ⋮ A bias-corrected least-squares Monte Carlo for solving multi-period utility models ⋮ On data-based optimal stopping under stationarity and ergodicity ⋮ American Option Sensitivities Estimation via a Generalized Infinitesimal Perturbation Analysis Approach ⋮ Solving optimal stopping problems via empirical dual optimization ⋮ Sensitivities for Bermudan options by regression methods ⋮ Multilevel dual approach for pricing American style derivatives ⋮ Sequential Design for Optimal Stopping Problems ⋮ The price of the Bermudan option: A simple, explicit formula ⋮ An improved least squares Monte Carlo valuation method based on heteroscedasticity ⋮ Optimal procurement strategies for contractual assembly systems with fluctuating procurement price ⋮ A Nonintrusive Stratified Resampler for Regression Monte Carlo: Application to Solving Nonlinear Equations ⋮ Mixing LSMC and PDE Methods to Price Bermudan Options ⋮ Pricing of American options in discrete time using least squares estimates with complexity penalties ⋮ Deep learning for ranking response surfaces with applications to optimal stopping problems ⋮ CONVERGENCE OF A LEAST‐SQUARES MONTE CARLO ALGORITHM FOR AMERICAN OPTION PRICING WITH DEPENDENT SAMPLE DATA ⋮ Randomized Optimal Stopping Algorithms and Their Convergence Analysis ⋮ Analysis of least squares regression estimates in case of additional errors in the variables ⋮ Optimal Stopping of McKean--Vlasov Diffusions via Regression on Particle Systems ⋮ General Error Estimates for the Longstaff–Schwartz Least-Squares Monte Carlo Algorithm ⋮ Implied stopping rules for American basket options from Markovian projection ⋮ Generic improvements to least squares Monte Carlo methods with applications to optimal stopping problems ⋮ Nearest Neighbor Based Estimation Technique for Pricing Bermudan Options ⋮ ON THE CONSISTENCY OF REGRESSION‐BASED MONTE CARLO METHODS FOR PRICING BERMUDAN OPTIONS IN CASE OF ESTIMATED FINANCIAL MODELS ⋮ American options under stochastic volatility: control variates, maturity randomization & multiscale asymptotics ⋮ Pricing and exercising American options: an asymptotic expansion approach ⋮ Pricing Bermudan Options via Multilevel Approximation Methods ⋮ Solving high-dimensional optimal stopping problems using deep learning ⋮ The difference between LSMC and replicating portfolio in insurance liability modeling
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Monte Carlo algorithms for optimal stopping and statistical learning
- On regression-based stopping times
- Fast learning rates for plug-in classifiers
- Sharper bounds for Gaussian and empirical processes
- Valuation of the early-exercise price for options using simulations and nonparametric regression
- Pricing American-style securities using simulation
- An analysis of a least squares regression method for American option pricing
- Smooth discrimination analysis
- Number of paths versus number of basis functions in American option pricing
- A dynamic look-ahead Monte Carlo algorithm for pricing Bermudan options
- Regression methods in pricing American and Bermudan options using consumption processes
- PRICING OF HIGH-DIMENSIONAL AMERICAN OPTIONS BY NEURAL NETWORKS
- Uniform Central Limit Theorems
- Valuing American Options by Simulation: A Simple Least-Squares Approach
- On consistency of kernel density estimators for randomly censored data: Rates holding uniformly over adaptive intervals
This page was built for publication: Pricing Bermudan options by nonparametric regression: optimal rates of convergence for lower estimates
