Monte Carlo pricing of Bermudan-style derivativeswith lower and upper bound methods
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Summary
It is shown that regressor configuration plays a significant role in this Longstaff-Schwartz algorithm, and recommendations on how to construct effective regressors are given.
- Published
- 2012-01-01
- Cited by
- 0
- References
- 51
- Semantic Scholar
- https://api.semanticscholar.org/CorpusID:150837879
References
- Stochastic Calculus for Finance II: Continuous-Time Models
- Interest-rate option models
- Longstaff Schwartz Pricing of Bermudan Options and their Greeks
- Modern pricing of interest-rate derivatives
- Arbitrage Theory in Continuous Time
- Coping with Multicollinearity: An Example on Application of Principal Components Regression in Dendroecology
- The COS Method: An Efficient Fourier Method for Pricing Financial Derivatives
- Control Variates for Callable LIBOR Exotics - A Preliminary Study
- Foresight Bias and Suboptimality Correction in Monte-Carlo Pricing of Options with Early Exercise: Classification, Calculation and Removal
- Monte Carlo Methods in Financial Engineering
- ADI finite difference schemes for option pricing in the Heston model with correlation
- On the convergence from discrete to continuous time in an optimal stopping problem
- Handbook of Mathematical Functions with Formulas
- LIBOR and swap market models and measures
- New and robust drift approximations for the LIBOR market model
- Applications of martingale system theorems
- The Solution of a Quadratic Programming Problem Using Systematic Overrelaxation
- A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
- An analysis of a least squares regression method for American option pricing
- Valuation of the early-exercise price for options using simulations and nonparametric regression
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