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Sensitivities for Bermudan options by regression methods

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Author Info

  • Denis Belomestny

    ()

  • G. Milstein

    ()

  • John Schoenmakers

    ()

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    Abstract

    No abstract is available for this item.

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    File URL: http://hdl.handle.net/10.1007/s10203-009-0101-z
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    Bibliographic Info

    Article provided by Springer in its journal Decisions in Economics and Finance.

    Volume (Year): 33 (2010)
    Issue (Month): 2 (November)
    Pages: 117-138

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    Handle: RePEc:spr:decfin:v:33:y:2010:i:2:p:117-138

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    Web page: http://link.springer.de/link/service/journals/10203/index.htm

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    Related research

    Keywords: American and Bermudan options; Optimal stopping times; Monte Carlo simulation; Deltas; Conditional probabilistic representations; Regression methods; C15; C61;

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    References

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    Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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    1. Denis Belomestny, 2009. "Pricing Bermudan options using nonparametric regression: optimal rates of convergence for lower estimates," Papers 0907.5599, arXiv.org.
    2. Denis Belomestny & Grigori Milstein & Vladimir Spokoiny, 2009. "Regression methods in pricing American and Bermudan options using consumption processes," Quantitative Finance, Taylor & Francis Journals, vol. 9(3), pages 315-327.
    3. L. C. G. Rogers, 2002. "Monte Carlo valuation of American options," Mathematical Finance, Wiley Blackwell, vol. 12(3), pages 271-286.
    4. Denis Belomestny & Grigori N. Milstein, 2006. "Monte Carlo Evaluation Of American Options Using Consumption Processes," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 9(04), pages 455-481.
    5. Anastasia Kolodko & John Schoenmakers, 2006. "Iterative construction of the optimal Bermudan stopping time," Finance and Stochastics, Springer, vol. 10(1), pages 27-49, 01.
    6. Boyle, Phelim & Broadie, Mark & Glasserman, Paul, 1997. "Monte Carlo methods for security pricing," Journal of Economic Dynamics and Control, Elsevier, vol. 21(8-9), pages 1267-1321, June.
    7. Denis Belomestny & Grigori Milstein, 2006. "Adaptive Simulation Algorithms for Pricing American and Bermudian Options by Local Analysis of Financial Market," SFB 649 Discussion Papers SFB649DP2006-038, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    8. Joerg Kampen & Anastasia Kolodko & John Schoenmakers, 2008. "Monte Carlo Greeks for financial products via approximative transition densities," Papers 0807.1213, arXiv.org.
    9. Broadie, Mark & Glasserman, Paul, 1997. "Pricing American-style securities using simulation," Journal of Economic Dynamics and Control, Elsevier, vol. 21(8-9), pages 1323-1352, June.
    10. Dalton,Bill, 2008. "Financial Products," Cambridge Books, Cambridge University Press, number 9780521682220, October.
    11. Longstaff, Francis A & Schwartz, Eduardo S, 2001. "Valuing American Options by Simulation: A Simple Least-Squares Approach," University of California at Los Angeles, Anderson Graduate School of Management qt43n1k4jb, Anderson Graduate School of Management, UCLA.
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