Sensitivities for Bermudan options by regression methods
نویسندگان
چکیده
منابع مشابه
Sensitivities for Bermudan Options by Regression Methods
In this article we propose several pathwise and finite difference based methods for calculating sensitivities of Bermudan options using regression methods and Monte Carlo simulation. These methods rely on conditional probabilistic representations which allow, in combination with a regression approach, for efficient simultaneous computation of sensitivities at many initial positions. Assuming th...
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ژورنال
عنوان ژورنال: Decisions in Economics and Finance
سال: 2009
ISSN: 1593-8883,1129-6569
DOI: 10.1007/s10203-009-0101-z