Additive and multiplicative duals for American option pricing
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- 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.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- 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.
- Christopher Beveridge & Mark Joshi, 2011. "Monte Carlo Bounds for Game Options Including Convertible Bonds," Management Science, INFORMS, vol. 57(5), pages 960-974, May.
- repec:kap:apfinm:v:24:y:2017:i:2:d:10.1007_s10690-017-9226-1 is not listed on IDEAS
- Kohler Michael & Krzyzak Adam & Walk Harro, 2009. "Upper bounds for Bermudan options on Markovian data using nonparametric regression and a reduced number of nested Monte Carlo steps," Statistics & Risk Modeling, De Gruyter, vol. 26(4), pages 275-288, July.
- Nicholas Andrew Yap Swee Guan, 2015. "Regression and Convex Switching System Methods for Stochastic Control Problems with Applications to Multiple-Exercise Options," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 26.
- Helin Zhu & Fan Ye & Enlu Zhou, 2013. "Fast Estimation of True Bounds on Bermudan Option Prices under Jump-diffusion Processes," Papers 1305.4321, arXiv.org.
- N. Hilber & N. Reich & C. Schwab & C. Winter, 2009. "Numerical methods for Lévy processes," Finance and Stochastics, Springer, vol. 13(4), pages 471-500, September.
- Vijay V. Desai & Vivek F. Farias & Ciamac C. Moallemi, 2012. "Pathwise Optimization for Optimal Stopping Problems," Management Science, INFORMS, vol. 58(12), pages 2292-2308, December.
- John Schoenmakers, 2012. "A pure martingale dual for multiple stopping," Finance and Stochastics, Springer, vol. 16(2), pages 319-334, April.
- Denis Belomestny & Christian Bender & John Schoenmakers, 2009. "True Upper Bounds For Bermudan Products Via Non-Nested Monte Carlo," Mathematical Finance, Wiley Blackwell, vol. 19(1), pages 53-71.
- 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 & Stefan Hafner & Mikhail Urusov, 2016. "Regression-based complexity reduction of the dual nested Monte Carlo methods," Papers 1611.06344, arXiv.org, revised Mar 2018.
- Christian Bender & Christian Gaertner & Nikolaus Schweizer, 2016. "Pathwise Iteration for Backward SDEs," Papers 1605.07500, arXiv.org, revised Jun 2016.
More about this item
KeywordsOptimal stopping; Monte Carlo methods; Variance reduction; 62L15; 60H35; 60J57; G11; G12; G13;
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:spr:finsto:v:11:y:2007:i:2:p:153-179. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Sonal Shukla) or (Rebekah McClure). General contact details of provider: http://www.springer.com .
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.