Regression methods in pricing American and Bermudan options using consumption processes

Here we develop methods for e±cient pricing multidimensional discrete-time American and Bermudan options by using regression based algorithms together with a new approach towards constructing upper bounds for the price of the option...

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Authors:	Belomestny, Denis ; Milstein, Grigori N. ; Spokoiny, Vladimir
Institutions:	Sonderforschungsbereich Ökonomisches Risiko <Berlin>
Subject:	Optionspreistheorie \| Monte-Carlo-Simulation \| Regressionsmodell \| Preisobergrenze \| Preisuntergrenze

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Extent:	526336 bytes 30 p. application/pdf
Series:	Humboldt-Universität zu Berlin - Sonderforschungsbereich 649 - Discussion Papers SFB 649 Discussion Paper ; 2006-051
Type of publication:	Book / Working Paper
Language:	English
Classification:	Employment of capital, capital investment planning and estimate of investment profitability ; Individual Working Papers, Preprints ; No country specification
Source:	USB Cologne (business full texts)

Persistent link: https://www.econbiz.de/10005854704