Pricing Bermudan Options via Multilevel Approximation Methods
نویسندگان
چکیده
منابع مشابه
Pricing Bermudan Options via Multilevel Approximation Methods
Abstract. In this article we propose a novel approach to reduce the computational complexity of various approximation methods for pricing discrete time American or Bermudan options. Given a sequence of continuation values estimates corresponding to different levels of spatial approximation, we propose a multilevel low biased estimate for the price of the option. It turns out that the resulting ...
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ژورنال
عنوان ژورنال: SIAM Journal on Financial Mathematics
سال: 2015
ISSN: 1945-497X
DOI: 10.1137/130912426