The stochastic grid bundling method: efficient pricing of Bermudan options and their Greeks
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Cites work
- scientific article; zbMATH DE number 1999206 (Why is no real title available?)
- A QUANTIZATION TREE METHOD FOR PRICING AND HEDGING MULTIDIMENSIONAL AMERICAN OPTIONS
- A STATE‐SPACE PARTITIONING METHOD FOR PRICING HIGH‐DIMENSIONAL AMERICAN‐STYLE OPTIONS
- Efficient Computation of Hedging Parameters for Discretely Exercisable Options
- Improved lower and upper bound algorithms for pricing American options by simulation
- Least squares quantization in PCM
- Monte Carlo valuation of American options
- Pricing American Options: A Duality Approach
- Pricing and hedging American-style options: a simple simulation-based approach
- Pricing early-exercise and discrete barrier options by Fourier-cosine series expansions
- Pricing high-dimensional Bermudan options using the stochastic grid method
- Sensitivities for Bermudan options by regression methods
- The Greatest of a Finite Set of Random Variables
- Two-dimensional Fourier cosine series expansion method for pricing financial options
- Valuation of the early-exercise price for options using simulations and nonparametric regression
Cited in
(45)- On the modelling of nested risk-neutral stochastic processes with applications in insurance
- Algorithmic counterparty credit exposure for multi-asset Bermudan options
- Efficient parallel Monte-Carlo techniques for pricing American options including counterparty credit risk
- Explainable neural network for pricing and universal static hedging of contingent claims
- BENCHOP -- SLV: the BENCHmarking project in option pricing -- stochastic and local volatility problems
- Deep neural network expressivity for optimal stopping problems
- Speed-up credit exposure calculations for pricing and risk management
- Pricing Bermudan options under Merton jump-diffusion asset dynamics
- 15 years of Adjoint Algorithmic Differentiation (AAD) in finance
- Efficient pricing of Bermudan options using recombining quadratures
- Deep learning for ranking response surfaces with applications to optimal stopping problems
- Practical policy iteration: generic methods for obtaining rapid and tight bounds for Bermudan exotic derivatives using Monte Carlo simulation
- Modern Monte Carlo methods and GPU computing
- Krighedge: Gaussian process surrogates for delta hedging
- Computing credit valuation adjustment solving coupled PIDEs in the Bates model
- A general continuous time Markov chain approximation for multi-asset option pricing with systems of correlated diffusions
- ``Regression anytime with brute-force SVD truncation
- Deep optimal stopping
- Efficient computation of various valuation adjustments under local Lévy models
- Simulated Greeks for American options
- Pricing high-dimensional Bermudan options using the stochastic grid method
- An SGBM-XVA demonstrator: a scalable Python tool for pricing XVA
- A static replication approach for callable interest rate derivatives: mathematical foundations and efficient estimation of SIMM–MVA
- Multi-period mean-variance portfolio optimization based on Monte-Carlo simulation
- Computing credit valuation adjustment for Bermudan options with wrong way risk
- On the primal-dual algorithm for callable bermudan options
- Stochastic grid bundling method for backward stochastic differential equations
- Pricing high-dimensional American options by kernel ridge regression
- Sensitivities for Bermudan options by regression methods
- Application of kernel-based stochastic gradient algorithms to option pricing
- Polynomial affine approach to HARA utility maximization with applications to OrnsteinUhlenbeck \(4/2\) models.
- A New Approach for American Option Pricing: The Dynamic Chebyshev Method
- Numerical valuation of Bermudan basket options via partial differential equations
- On pre-commitment aspects of a time-consistent strategy for a mean-variance investor
- Multigrid method for pricing European options under the CGMY process
- Calculation of exposure profiles and sensitivities of options under the Heston and the Heston Hull-White models
- Mixing LSMC and PDE methods to price Bermudan options
- GPU acceleration of the stochastic grid bundling method for early-exercise options
- Dynamic portfolio optimization with liquidity cost and market impact: a simulation-and-regression approach
- A deep learning approach for computations of exposure profiles for high-dimensional Bermudan options
- A novel Monte Carlo approach to hybrid local volatility models
- Deep learning for CVA computations of large portfolios of financial derivatives
- Quasi-Monte Carlo simulation for American option sensitivities
- Bermudan options pricing formulas in uncertain financial markets
- Counterparty credit exposures for interest rate derivatives using the stochastic grid bundling method
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