Iterative construction of the optimal Bermudan stopping time
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- John Schoenmakers & Junbo Huang & Jianing Zhang, 2011. "Optimal dual martingales, their analysis and application to new algorithms for Bermudan products," Papers 1111.6038, arXiv.org, revised Feb 2012.
- Beveridge, Christopher & Joshi, Mark & Tang, Robert, 2013. "Practical policy iteration: Generic methods for obtaining rapid and tight bounds for Bermudan exotic derivatives using Monte Carlo simulation," Journal of Economic Dynamics and Control, Elsevier, vol. 37(7), pages 1342-1361.
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- Christoph Reisinger & Rasmus Wissmann, 2012. "Numerical Valuation of Derivatives in High-Dimensional Settings via PDE Expansions," Papers 1209.1909, arXiv.org, revised Oct 2013.
- John Schoenmakers, 2012. "A pure martingale dual for multiple stopping," Finance and Stochastics, Springer, vol. 16(2), pages 319-334, April.
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"Sensitivities for Bermudan options by regression methods,"
Decisions in Economics and Finance,
Springer;Associazione per la Matematica, vol. 33(2), pages 117-138, November.
- Denis Belomestny & Grigori Milstein & John Schoenmakers, 2007. "Sensitivities for Bermudan Options by Regression Methods," SFB 649 Discussion Papers SFB649DP2007-048, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Joshi, Mark & Tang, Robert, 2014. "Effective sub-simulation-free upper bounds for the Monte Carlo pricing of callable derivatives and various improvements to existing methodologies," Journal of Economic Dynamics and Control, Elsevier, vol. 40(C), pages 25-45.
- Denis Belomestny & John Schoenmakers & Fabian Dickmann, 2013. "Multilevel dual approach for pricing American style derivatives," Finance and Stochastics, Springer, vol. 17(4), pages 717-742, October.
- Joerg Kampen & Anastasia Kolodko & John Schoenmakers, 2008. "Monte Carlo Greeks for financial products via approximative transition densities," Papers 0807.1213, arXiv.org.
- Christian Bender & Christian Gaertner & Nikolaus Schweizer, 2016. "Pathwise Iteration for Backward SDEs," Papers 1605.07500, arXiv.org, revised Jun 2016.
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KeywordsBermudan options; optimal stopping; Monte Carlo simulation; LIBOR market model;
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