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In this article we propose several pathwise and finite difference based methods for calculating sensitivities of Bermudan options using regression methods and Monte Carlo simulation. These methods rely on conditional probabilistic representations which allow, in combination with a regression...
Persistent link: https://www.econbiz.de/10005677992
Here we develop an approach for efficient pricing discrete-time American and Bermudan options which employs the fact that such options are equivalent to the European ones with a consumption, combined with analysis of the market model over a small number of steps ahead. This approach allows...
Persistent link: https://www.econbiz.de/10005652739
We introduce a new Monte Carlo method for constructing the exercise boundary of an American option in a generalized Black-Scholes framework. Based on a known exercise boundary, it is shown how to price and hedge the American option by Monte Carlo simulation of suitable probabilistic...
Persistent link: https://www.econbiz.de/10001802364
Persistent link: https://www.econbiz.de/10002171485
Persistent link: https://www.econbiz.de/10008668146
In this article we propose several pathwise and finite difference based methods for calculating sensitivities of Bermudan options using regression methods and Monte Carlo simulation. These methods rely on conditional probabilistic representations which allow, in combination with a regression...
Persistent link: https://www.econbiz.de/10003634598
Here we develop methods for efficient 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. Applying the sample space with payoffs at the optimal...
Persistent link: https://www.econbiz.de/10003375769
Persistent link: https://www.econbiz.de/10002996502
Here we develop an approach for efficient pricing discrete-time American and Bermudan options which employs the fact that such options are equivalent to the European ones with a consumption, combined with analysis of the market model over a small number of steps ahead. This approach allows...
Persistent link: https://www.econbiz.de/10003324475
Persistent link: https://www.econbiz.de/10003746423