Importance Resampling with MRAS algorithm for Bermudan option pricing
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منابع مشابه
The Stochastic Grid Bundling Method: Efficient pricing of Bermudan options and their Greeks
This paper describes a practical simulation-based algorithm, which we call the Stochastic Grid Bundling Method (SGBM) for pricing multidimensional Bermudan (i.e. discretely exercisable) options. The method generates a direct estimator of the option price, an optimal early-exercise policy as well as a lower bound value for the option price. An advantage of SGBM is that the method can be used for...
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تاریخ انتشار 2012