Neural network regression for Bermudan option pricing
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Abstract
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DOI: 10.1515/mcma-2021-2091
Note: View the original document on HAL open archive server: https://hal.univ-grenoble-alpes.fr/hal-02183587v3
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References listed on IDEAS
- Carriere, Jacques F., 1996. "Valuation of the early-exercise price for options using simulations and nonparametric regression," Insurance: Mathematics and Economics, Elsevier, vol. 19(1), pages 19-30, December.
- repec:dau:papers:123456789/4273 is not listed on IDEAS
- Sebastian Becker & Patrick Cheridito & Arnulf Jentzen & Timo Welti, 2019. "Solving high-dimensional optimal stopping problems using deep learning," Papers 1908.01602, arXiv.org, revised Aug 2021.
- Philip Protter & Emmanuelle Clément & Damien Lamberton, 2002. "An analysis of a least squares regression method for American option pricing," Finance and Stochastics, Springer, vol. 6(4), pages 449-471.
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Cited by:
- Jiang Yu Nguwi & Nicolas Privault, 2023. "A deep learning approach to the probabilistic numerical solution of path-dependent partial differential equations," Partial Differential Equations and Applications, Springer, vol. 4(4), pages 1-20, August.
- Lukas Gonon, 2022. "Deep neural network expressivity for optimal stopping problems," Papers 2210.10443, arXiv.org.
- Hainaut, Donatien & Akbaraly, Adnane, 2023. "Risk management with Local Least Squares Monte-Carlo," LIDAM Discussion Papers ISBA 2023003, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- Zineb El Filali Ech-Chafiq & Pierre Henry-Labordere & Jérôme Lelong, 2021. "Pricing Bermudan options using regression trees/random forests," Working Papers hal-03436046, HAL.
- Etienne Chevalier & Sergio Pulido & Elizabeth Zúñiga, 2022. "American options in the Volterra Heston model," Post-Print hal-03178306, HAL.
- Ludovic Goudenege & Andrea Molent & Antonino Zanette, 2022. "Computing XVA for American basket derivatives by Machine Learning techniques," Papers 2209.06485, arXiv.org.
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More about this item
Keywords
Deep learning; Bermudan options; Regression methods; Optimal stopping; Neural networks; optimal stopping; regression methods; deep learning; neural networks;All these keywords.
NEP fields
This paper has been announced in the following NEP Reports:- NEP-BIG-2021-07-19 (Big Data)
- NEP-CMP-2021-07-19 (Computational Economics)
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