Pricing high-dimensional Bermudan options using the stochastic grid method

DOI10.1080/00207160.2012.690035zbMath1255.91430MaRDI QIDQ4903543

Shashi Jain, Cornelis W. Oosterlee

Publication date: 22 January 2013

Published in: International Journal of Computer Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00207160.2012.690035

zbMATH Keywords

Monte Carlo; regression; high dimensional; Bermudan options; stochastic mesh method; least squares method (LSM); Amrican options; Gram Charlier; stochastic grid method

Mathematics Subject Classification ID

62P05: Applications of statistics to actuarial sciences and financial mathematics

91G60: Numerical methods (including Monte Carlo methods)

65C05: Monte Carlo methods

60G40: Stopping times; optimal stopping problems; gambling theory

65C30: Numerical solutions to stochastic differential and integral equations