Pricing Bermudan Options via Multilevel Approximation Methods

DOI10.1137/130912426zbMath1315.91070arXiv1303.1334OpenAlexW1532317994MaRDI QIDQ5258453

Fabian Dickmann, Denis Belomestny, Tigran Nagapetyan

Publication date: 26 June 2015

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1303.1334

zbMATH Keywords

complexity analysismesh methodmultilevel Monte CarloBermudan optionsglobal regression

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Probabilistic models, generic numerical methods in probability and statistics (65C20) Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (7)

Multilevel Simulation Based Policy Iteration for Optimal Stopping--Convergence and Complexity ⋮ The price of the Bermudan option: A simple, explicit formula ⋮ An improved least squares Monte Carlo valuation method based on heteroscedasticity ⋮ SMOOTH UPPER BOUNDS FOR THE PRICE FUNCTION OF AMERICAN STYLE OPTIONS ⋮ CONVERGENCE OF A LEAST‐SQUARES MONTE CARLO ALGORITHM FOR AMERICAN OPTION PRICING WITH DEPENDENT SAMPLE DATA ⋮ Implied stopping rules for American basket options from Markovian projection ⋮ Solving high-dimensional optimal stopping problems using deep learning

Cites Work

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• Quantitative error estimates for a least-squares Monte Carlo algorithm for American option pricing
• Multilevel dual approach for pricing American style derivatives
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• Valuation of the early-exercise price for options using simulations and nonparametric regression
• Pricing American-style securities using simulation
• Number of paths versus number of basis functions in American option pricing
• Multilevel Monte Carlo Path Simulation
• Valuing American Options by Simulation: A Simple Least-Squares Approach

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