Bermudan options using regression methods and Monte Carlo simulation. These methods rely on conditional probabilistic …

Bermudan options using regression methods and Monte Carlo simulation. These methods rely on conditional probabilistic … SFB 649 Discussion Paper 2007-048 Sensitivities for Bermudan Options by Regression Methods … B E R L I N Sensitivities for Bermudan options by regression methods Belomestny, Denis ∗ Weierstrass …

SFB 649 Discussion Paper 2006-051 Regression methods in pricing American and Bermudan … E C O N O M I C R I S K B E R L I N Regression methods …, Consumption process, Regression methods, Optimal stopping times ⁄This research was supported by the Deutsche …

-based volatility forecasts, through the use of fuzzy regression methods. The latter methods offer a suitable tool to handle both …, measurement errors in both realised volatility and volatility forecasts may affect the regression results. Fuzzy regression … methods have not yet been used in volatility forecasting. Our case study is based on intra-daily data on the DAX-index options …

constructed using regression methods and a new approach for computing upper bounds of the options' price. Using the sample space …