Pricing high-dimensional Bermudan options using the stochastic grid method
DOI10.1080/00207160.2012.690035zbMATH Open1255.91430OpenAlexW2165647372MaRDI QIDQ4903543FDOQ4903543
Authors: 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
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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)
Cites Work
- A novel pricing method for European options based on Fourier-cosine series expansions
- A QUANTIZATION TREE METHOD FOR PRICING AND HEDGING MULTIDIMENSIONAL AMERICAN OPTIONS
- Monte Carlo methods for security pricing
- Valuing American options by simulation: a simple least-squares approach
- Monte Carlo valuation of American options
- A Fast and Accurate FFT-Based Method for Pricing Early-Exercise Options under Lévy Processes
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- Policy iteration for american options: overview
- The Greatest of a Finite Set of Random Variables
- Monte Carlo algorithms for optimal stopping and statistical learning
- Valuation of the early-exercise price for options using simulations and nonparametric regression
- Convergence of a Least‐Squares Monte Carlo Algorithm for Bounded Approximating Sets
- Optimal stopping of Markov processes: Hilbert space theory, approximation algorithms, and an application to pricing high-dimensional financial derivatives
- Pricing American-style securities using simulation
- Improved lower and upper bound algorithms for pricing American options by simulation
- Pricing American Options: A Duality Approach
- Regression methods for stochastic control problems and their convergence analysis
- A STATE‐SPACE PARTITIONING METHOD FOR PRICING HIGH‐DIMENSIONAL AMERICAN‐STYLE OPTIONS
- An irregular grid approach for pricing high-dimensional American options
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
- A Nonintrusive Stratified Resampler for Regression Monte Carlo: Application to Solving Nonlinear Equations
- Pricing Bermudan options under Merton jump-diffusion asset dynamics
- 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
- A deep learning method for pricing high-dimensional American-style options via state-space partition
- JDOI variance reduction method and the pricing of American-style options
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