Pricing American options by exercise rate optimization

DOI10.1080/14697688.2020.1750678zbMath1471.91615arXiv1809.07300OpenAlexW3041812180MaRDI QIDQ4957236

Sören Wolfers, Christian Bayer, Raúl Tempone

Publication date: 3 September 2021

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1809.07300

zbMATH Keywords

Monte Carlo methodBlack-Scholes modelAmerican optionHeston modelBergomi model

Mathematics Subject Classification ID

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 (7)

Pricing Options under Rough Volatility with Backward SPDEs ⋮ Moving average options: machine learning and Gauss-Hermite quadrature for a double non-Markovian problem ⋮ American Options in the Volterra Heston Model ⋮ Optimal stopping with signatures ⋮ Pricing High-Dimensional Bermudan Options with Hierarchical Tensor Formats ⋮ New directions in rough path theory. Abstracts from the workshop held December 6--12, 2020 (online meeting) ⋮ Randomized Optimal Stopping Algorithms and Their Convergence Analysis

Uses Software

• LBFGS-B

Cites Work

• Unnamed Item
• On the rates of convergence of simulation-based optimization algorithms for optimal stopping problems
• Boundary sensitivities for diffusion processes in time dependent domains
• Convergence and biases of Monte Carlo estimates of American option prices using a parametric exercise rule
• On randomized stopping
• Fractional Brownian motion and the Markov property
• Pricing American-style securities using simulation
• Multivariate simultaneous approximation
• Multilevel Monte Carlo Methods
• The Valuation of American Options on Multiple Assets
• Path-Dependent Options: Extending the Monte Carlo Simulation Approach
• Optimal exercise boundary for an American put option
• Advanced Simulation-Based Methods for Optimal Stopping and Control
• CONVERGENCE OF A LEAST‐SQUARES MONTE CARLO ALGORITHM FOR AMERICAN OPTION PRICING WITH DEPENDENT SAMPLE DATA
• Monte Carlo valuation of American options
• A Limited Memory Algorithm for Bound Constrained Optimization
• Pricing under rough volatility
• Multifactor Approximation of Rough Volatility Models
• Computational Methods for Option Pricing
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Valuing American Options by Simulation: A Simple Least-Squares Approach
• Efficient Hierarchical Approximation of High‐Dimensional Option Pricing Problems

This page was built for publication: Pricing American options by exercise rate optimization