The problem of pricing Bermudan options using Monte Carlo and a nonparametric regression is considered. We derive optimal nonasymptotic bounds for a lower biased estimate based on the suboptimal stopping rule constructed using some estimates of 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.
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Paper provided by Sonderforschungsbereich 649, Humboldt University, Berlin, Germany in its series SFB 649 Discussion Papers with number
SFB649DP2009-023.