Regression methods in pricing American and Bermudan options using consumption processes
dc.bibliographicCitation.seriesTitle | WIAS Preprints | eng |
dc.bibliographicCitation.volume | 1145 | |
dc.contributor.author | Belomestny, Denis | |
dc.contributor.author | Milstein, Grigor N. | |
dc.contributor.author | Spokoiny, Vladimir | |
dc.date.accessioned | 2016-03-24T17:37:22Z | |
dc.date.available | 2019-06-28T08:16:17Z | |
dc.date.issued | 2006 | |
dc.description.abstract | Here we develop methods for efficient pricing multidimensional discrete-time American and Bermudan options by using regression based algorithms together with a new approach towards constructing upper bounds for the price of the option. Applying sample space with payoffs at the optimal stopping times, we propose sequential estimates for continuation values, values of the consumption process, and stopping times on the sample paths. The approach admits constructing both low and upper bounds for the price by Monte Carlo simulations. The methods are illustrated by pricing Bermudan swaptions and snowballs in the Libor market model. | |
dc.description.version | publishedVersion | eng |
dc.format | application/pdf | |
dc.identifier.issn | 0946-8633 | |
dc.identifier.uri | https://doi.org/10.34657/3061 | |
dc.identifier.uri | https://oa.tib.eu/renate/handle/123456789/3067 | |
dc.language.iso | eng | eng |
dc.publisher | Berlin : Weierstraß-Institut für Angewandte Analysis und Stochastik | |
dc.relation.issn | 0946-8633 | eng |
dc.rights.license | Dieses Dokument darf im Rahmen von § 53 UrhG zum eigenen Gebrauch kostenfrei heruntergeladen, gelesen, gespeichert und ausgedruckt, aber nicht im Internet bereitgestellt oder an Außenstehende weitergegeben werden. | ger |
dc.rights.license | This document may be downloaded, read, stored and printed for your own use within the limits of § 53 UrhG but it may not be distributed via the internet or passed on to external parties. | eng |
dc.subject.ddc | 510 | |
dc.subject.other | American and Bermudan options | eng |
dc.subject.other | low and upper bounds | eng |
dc.subject.other | Monte Carlo method | eng |
dc.subject.other | consumption process | eng |
dc.subject.other | regression methods | eng |
dc.subject.other | optimal stopping times | eng |
dc.title | Regression methods in pricing American and Bermudan options using consumption processes | |
dc.type | Report | eng |
dc.type | Text | eng |
tib.accessRights | openAccess | eng |
wgl.contributor | WIAS | eng |
wgl.subject | Mathematik | eng |
wgl.type | Report / Forschungsbericht / Arbeitspapier | eng |
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