Adaptive Simulation Algorithms for Pricing American and Bermudian Options by Local Analysis of Financial Market
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- Denis Belomestny & G. Milstein & John Schoenmakers, 2010.
"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.
- Denis Belomestny & Grigori Milstein & Vladimir Spokoiny, 2009.
"Regression methods in pricing American and Bermudan options using consumption processes,"
Taylor & Francis Journals, vol. 9(3), pages 315-327.
- Denis Belomestny & Grigori N. Milstein & Vladimir Spokoiny, 2006. "Regression methods in pricing American and Bermudan options using consumption processes," SFB 649 Discussion Papers SFB649DP2006-051, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Denis Belomestny & Pavel V. Gapeev, 2006. "An Iteration Procedure for Solving Integral Equations Related to Optimal Stopping Problems," SFB 649 Discussion Papers SFB649DP2006-043, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
More about this item
KeywordsAmerican and Bermudan options; Lower and Upper bounds; Monte Carlo simulation; Variance reduction;
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2006-05-13 (All new papers)
- NEP-CMP-2006-05-13 (Computational Economics)
- NEP-FIN-2006-05-13 (Finance)
- NEP-FMK-2006-05-13 (Financial Markets)
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