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Multilevel dual approach for pricing American style derivatives · Study

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ArticleMultilevel dual approach for pricing American style derivatives

Denis Vital'evich Belomestny2013

Article2013

Multilevel dual approach for pricing American style derivatives

Denis Vital'evich Belomestny · John G. M. Schoenmakers · Fabian Dickmann

41 citations·0/0 files stored·Finance and Stochastics

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Stochastic processes and financial applications Financial Markets and Investment Strategies Mathematical Approximation and Integration

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References

2003Monte Carlo Methods in Financial Engineering 2001Valuing American Options by Simulation: A Simple Least-Squares Approach 2008Multilevel Monte Carlo Path Simulation 2001Regression methods for pricing complex American-style options 2002Monte Carlo valuation of American options 1996Valuation of the early-exercise price for options using simulations and nonparametric regression 2004Pricing American Options: A Duality Approach 2004Primal-Dual Simulation Algorithm for Pricing Multidimensional American Options

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2015A PRIMAL–DUAL ALGORITHM FOR BSDES 2013Multilevel Simulation of Functionals of Bernoulli Random Variables with Application to Basket Credit Derivatives 2013Multilevel Monte Carlo Methods

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Year2013

Typearticle

Published2013-05-27

VenueFinance and Stochastics

ISSN-L0949-2984

Languageen

Citations41

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1007/s00780-013-0208-5

openalex_workW2120301464

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