Pricing Bermudan options by nonparametric regression : optimal rates of convergence for lower estimates
dc.bibliographicCitation.seriesTitle | WIAS Preprints | eng |
dc.bibliographicCitation.volume | 1492 | |
dc.contributor.author | Belomestny, Denis | |
dc.date.accessioned | 2016-03-24T17:38:36Z | |
dc.date.available | 2019-06-28T08:05:07Z | |
dc.date.issued | 2010 | |
dc.description.abstract | The problem of pricing Bermudan options using simulations and nonparametric regression is considered. We derive optimal non-asymptotic bounds for the low biased estimate based on a suboptimal stopping rule constructed from some estimates of the optimal continuation values. These estimates may be of different nature, they may be local or global, with the only requirement being that the deviations of these estimates from the true continuation values can be uniformly bounded in probability. As an illustration, we discuss a class of local polynomial estimates which, under some regularity conditions, yield continuation values estimates possessing the required property. | |
dc.description.version | publishedVersion | eng |
dc.format | application/pdf | |
dc.identifier.issn | 0946-8633 | |
dc.identifier.uri | https://doi.org/10.34657/3001 | |
dc.identifier.uri | https://oa.tib.eu/renate/handle/123456789/2271 | |
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 | Bermudan options | eng |
dc.subject.other | Nonparametric regression | eng |
dc.subject.other | Boundary condition | eng |
dc.subject.other | Suboptimal stopping rules | eng |
dc.title | Pricing Bermudan options by nonparametric regression : optimal rates of convergence for lower estimates | |
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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