Sensitivities for Bermudan options by regression methods
dc.bibliographicCitation.seriesTitle | WIAS Preprints | eng |
dc.bibliographicCitation.volume | 1247 | |
dc.contributor.author | Belomestny, Denis | |
dc.contributor.author | Milstein, Grigori N. | |
dc.contributor.author | Schoenmakers, John | |
dc.date.accessioned | 2016-03-24T17:38:15Z | |
dc.date.available | 2019-06-28T08:02:36Z | |
dc.date.issued | 2007 | |
dc.description.abstract | In this article we propose several pathwise and finite difference based methods for calculating sensitivities of Bermudan options using regression methods and Monte Carlo simulation. These methods rely on conditional probabilistic representations which allows, in combination with a regression approach, an efficient simultaneous computation of sensitivities at all initial positions. Assuming that the price of a Bermudan option can be evaluated sufficiently accurate, we develop a method for constructing deltas based on least squares. We finally propose a testing procedure for assessing the performance of the developed methods. | |
dc.description.version | publishedVersion | eng |
dc.format | application/pdf | |
dc.identifier.issn | 0946-8633 | |
dc.identifier.uri | https://doi.org/10.34657/3145 | |
dc.identifier.uri | https://oa.tib.eu/renate/handle/123456789/1877 | |
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.title | Sensitivities for Bermudan options by regression methods | |
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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