The stochastic grid bundling method: efficient pricing of Bermudan options and their Greeks
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Publication:668683
DOI10.1016/J.AMC.2015.07.085zbMATH Open1410.91486OpenAlexW3003239501MaRDI QIDQ668683FDOQ668683
Authors: Shashi Jain, Cornelis W. Oosterlee 
Publication date: 19 March 2019
Published in: Applied Mathematics and Computation (Search for Journal in Brave)
Full work available at URL: https://ir.cwi.nl/pub/23551
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Bermudan optionsGreeks for American optionsMonte Carlo methods for American optionspricing American optionsstochastic grid bundling method
Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)
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Cited In (45)
- Deep neural network expressivity for optimal stopping problems
- Practical policy iteration: generic methods for obtaining rapid and tight bounds for Bermudan exotic derivatives using Monte Carlo simulation
- Efficient computation of various valuation adjustments under local Lévy models
- Speed-up credit exposure calculations for pricing and risk management
- A static replication approach for callable interest rate derivatives: mathematical foundations and efficient estimation of SIMM–MVA
- GPU acceleration of the stochastic grid bundling method for early-exercise options
- Deep learning for ranking response surfaces with applications to optimal stopping problems
- Calculation of exposure profiles and sensitivities of options under the Heston and the Heston Hull-White models
- Dynamic portfolio optimization with liquidity cost and market impact: a simulation-and-regression approach
- On pre-commitment aspects of a time-consistent strategy for a mean-variance investor
- Simulated Greeks for American options
- Numerical valuation of Bermudan basket options via partial differential equations
- Multigrid method for pricing European options under the CGMY process
- ``Regression anytime with brute-force SVD truncation
- Counterparty credit exposures for interest rate derivatives using the stochastic grid bundling method
- Quasi-Monte Carlo simulation for American option sensitivities
- Krighedge: Gaussian process surrogates for delta hedging
- Algorithmic counterparty credit exposure for multi-asset Bermudan options
- Computing credit valuation adjustment for Bermudan options with wrong way risk
- Efficient parallel Monte-Carlo techniques for pricing American options including counterparty credit risk
- Stochastic grid bundling method for backward stochastic differential equations
- A general continuous time Markov chain approximation for multi-asset option pricing with systems of correlated diffusions
- A deep learning approach for computations of exposure profiles for high-dimensional Bermudan options
- Deep learning for CVA computations of large portfolios of financial derivatives
- Mixing LSMC and PDE methods to price Bermudan options
- Bermudan options pricing formulas in uncertain financial markets
- Modern Monte Carlo methods and GPU computing
- On the primal-dual algorithm for callable bermudan options
- Explainable neural network for pricing and universal static hedging of contingent claims
- Sensitivities for Bermudan options by regression methods
- A novel Monte Carlo approach to hybrid local volatility models
- Computing credit valuation adjustment solving coupled PIDEs in the Bates model
- 15 years of Adjoint Algorithmic Differentiation (AAD) in finance
- Pricing Bermudan options under Merton jump-diffusion asset dynamics
- Pricing high-dimensional Bermudan options using the stochastic grid method
- Efficient pricing of Bermudan options using recombining quadratures
- Pricing high-dimensional American options by kernel ridge regression
- 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
- On the modelling of nested risk-neutral stochastic processes with applications in insurance
- Deep optimal stopping
- BENCHOP -- SLV: the BENCHmarking project in option pricing -- stochastic and local volatility problems
- An SGBM-XVA demonstrator: a scalable Python tool for pricing XVA
- Multi-period mean-variance portfolio optimization based on Monte-Carlo simulation
- Application of kernel-based stochastic gradient algorithms to option pricing
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