Pricing high-dimensional Bermudan options using the stochastic grid method
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Publication:4903543
high dimensionalMonte CarloregressionBermudan optionsstochastic mesh methodleast squares method (LSM)Amrican optionsGram Charlierstochastic grid method
Monte Carlo methods (65C05) Applications of statistics to actuarial sciences and financial mathematics (62P05) Numerical methods (including Monte Carlo methods) (91G60) Stopping times; optimal stopping problems; gambling theory (60G40) Numerical solutions to stochastic differential and integral equations (65C30)
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Cites work
- scientific article; zbMATH DE number 3354369 (Why is no real title available?)
- A Fast and Accurate FFT-Based Method for Pricing Early-Exercise Options under Lévy Processes
- A QUANTIZATION TREE METHOD FOR PRICING AND HEDGING MULTIDIMENSIONAL AMERICAN OPTIONS
- A STATE‐SPACE PARTITIONING METHOD FOR PRICING HIGH‐DIMENSIONAL AMERICAN‐STYLE OPTIONS
- A novel pricing method for European options based on Fourier-cosine series expansions
- An irregular grid approach for pricing high-dimensional American options
- Convergence of a Least‐Squares Monte Carlo Algorithm for Bounded Approximating Sets
- Improved lower and upper bound algorithms for pricing American options by simulation
- Monte Carlo algorithms for optimal stopping and statistical learning
- Monte Carlo methods for security pricing
- Monte Carlo valuation of American options
- Optimal stopping of Markov processes: Hilbert space theory, approximation algorithms, and an application to pricing high-dimensional financial derivatives
- Policy iteration for american options: overview
- Pricing American Options: A Duality Approach
- Pricing American-style securities using simulation
- Regression methods for stochastic control problems and their convergence analysis
- The Greatest of a Finite Set of Random Variables
- 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
(19)- Machine learning for pricing American options in high-dimensional Markovian and non-Markovian models
- Pricing High-Dimensional Bermudan Options with Hierarchical Tensor Formats
- Multigrid method for pricing European options under the CGMY process
- Valuation of Multidimensional Bermudan Options
- Unbiased optimal stopping via the MUSE
- An irregular grid approach for pricing high-dimensional American options
- Efficient parallel Monte-Carlo techniques for pricing American options including counterparty credit risk
- A Longstaff and Schwartz approach to the early election problem
- Mixing LSMC and PDE methods to price Bermudan options
- Efficient computation of exposure profiles for counterparty credit risk
- Pricing Bermudan Options via Multilevel Approximation Methods
- Efficient exposure computation by risk factor decomposition
- Pricing Bermudan options under Merton jump-diffusion asset dynamics
- A Nonintrusive Stratified Resampler for Regression Monte Carlo: Application to Solving Nonlinear Equations
- Pricing Bermudan options using low-discrepancy mesh methods
- Solving high-dimensional optimal stopping problems using deep learning
- The stochastic grid bundling method: efficient pricing of Bermudan options and their Greeks
- JDOI variance reduction method and the pricing of American-style options
- A deep learning method for pricing high-dimensional American-style options via state-space partition
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