Nearest Neighbor Based Estimation Technique for Pricing Bermudan Options

DOI10.1142/S0219198915400022zbMath1308.91181MaRDI QIDQ5245032

Ankush Agarwal, Sandeep Juneja

Publication date: 1 April 2015

Published in: International Game Theory Review (Search for Journal in Brave)

zbMATH Keywords

dynamic programmingHoeffding's inequalitynearest neighbor estimationBermudan option

Mathematics Subject Classification ID

Related Items (1)

American options under stochastic volatility: control variates, maturity randomization & multiscale asymptotics

Cites Work

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• The Pricing of Options and Corporate Liabilities
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• Nonparametric statistics for stochastic processes. Estimation and prediction.
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• Pricing American-style securities using simulation
• Exact simulation of diffusions
• PRICING OF HIGH-DIMENSIONAL AMERICAN OPTIONS BY NEURAL NETWORKS
• Localization and Exact Simulation of Brownian Motion-Driven Stochastic Differential Equations
• Valuing American Options by Simulation: A Simple Least-Squares Approach

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