Pricing Bermudan Options via Multilevel Approximation Methods-Reference-Cited by-同舟云学术

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Pricing Bermudan Options via Multilevel Approximation Methods

Published:2015-01 Issue:1 Volume:6 Page:448-466
ISSN:1945-497X
Container-title:SIAM Journal on Financial Mathematics
language:en
Short-container-title:SIAM J. Finan. Math.

Author:

Belomestny Denis,Dickmann Fabian,Nagapetyan Tigran

Publisher

Society for Industrial & Applied Mathematics (SIAM)

Subject

Applied Mathematics,Finance,Numerical Analysis

Link

http://epubs.siam.org/doi/pdf/10.1137/130912426

Reference12 articles.

1. Fast greeks by simulation in forward LIBOR models

2. Pricing Bermudan options by nonparametric regression: optimal rates of convergence for lower estimates

3. Multilevel dual approach for pricing American style derivatives

4. Pricing American-style securities using simulation

5. A stochastic mesh method for pricing high-dimensional American options

Cited by 14 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Monte Carlo Methods for Pricing American Options;Advances in Modeling and Simulation;2022

2. The price of the Bermudan option: A simple, explicit formula;Communications in Statistics - Theory and Methods;2021-08-26

3. Solving high-dimensional optimal stopping problems using deep learning;European Journal of Applied Mathematics;2021-04-27

4. A Multilevel Monte Carlo Method for the Valuation of Swing Options;Mathematical Problems in Engineering;2021-01-19

5. American Options on High Dividend Securities: A Numerical Investigation;Risks;2019-05-21

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