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Regression methods for stochastic control problems and their convergence analysis
Belomestny, Denis; Kolodko, Anastasia; Schoenmakers, John - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2009
In this paper we develop several regression algorithms for solving general stochastic optimal control problems via Monte Carlo. This type of algorithms is particularly useful for problems with a highdimensional state space and complex dependence structure of the underlying Markov process with...
Persistent link: https://www.econbiz.de/10005041089
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Regression methods in pricing American and Bermudan options using consumption processes
Belomestny, Denis; Milstein, Grigori N.; Spokoiny, Vladimir - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2006
regression based algorithms together with a new approach towards constructing upper bounds for the price of the option. Applying … upper bounds for the price by Monte Carlo simulations. The methods are illustrated by pricing Bermudan swaptions and …
Persistent link: https://www.econbiz.de/10005652732
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Sensitivities for Bermudan Options by Regression Methods
Belomestny, Denis; Milstein, Grigori; Schoenmakers, John - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2007
many initial positions. Assuming that the price of a Bermudan option can be evaluated sufficiently accurate, we develop a …
Persistent link: https://www.econbiz.de/10005677992
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Sensitivities for Bermudan options by regression methods
Belomestny, Denis; Milstein, Grigori N.; Schoenmakers, … - 2007
many initial positions. Assuming that the price of a Bermudan option can be evaluated sufficiently accurate, we develop a …
Persistent link: https://www.econbiz.de/10010276590
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Regression methods for stochastic control problems and their convergence analysis
Belomestny, Denis; Kolodko, Anastasia; Schoenmakers, … - 2009
In this paper we develop several regression algorithms for solving general stochastic optimal control problems via Monte Carlo. This type of algorithms is particularly useful for problems with a highdimensional state space and complex dependence structure of the underlying Markov process with...
Persistent link: https://www.econbiz.de/10010276592