Pricing Bermudan Options Using Regression Trees/Random Forests-Reference-Cited by-同舟云学术

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Pricing Bermudan Options Using Regression Trees/Random Forests

Published:2023-10-19 Issue:4 Volume:14 Page:1113-1139
ISSN:1945-497X
Container-title:SIAM Journal on Financial Mathematics
language:en
Short-container-title:SIAM J. Finan. Math.

Author:

Ech-Chafiq Zineb El Filali¹^ORCID,Labordère Pierre Henry²,Lelong Jérôme³^ORCID

Affiliation:

1. Université Grenoble, Alpes, CNRS, Grenoble, INP, LJK, 38000 Grenoble, France and Natixis, 75013 Paris, France.

2. Natixis, 75013 Paris, France and CMAP, Ecole Polytechnique, 91120 Palaiseau, France.

3. Université Grenoble Alpes, CNRS, INP, LJK, 38000 Grenoble, France.

Publisher

Society for Industrial & Applied Mathematics (SIAM)

Subject

Applied Mathematics,Finance,Numerical Analysis

Reference25 articles.

1. A QUANTIZATION TREE METHOD FOR PRICING AND HEDGING MULTIDIMENSIONAL AMERICAN OPTIONS

2. Valuation of the early-exercise price for options using simulations and nonparametric regression

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