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A survey of some regression-based and duality methods to value American and Bermudan options

Joseph, BernardDepartment of Mathematics and Applied Mathematics2013

Includes abstract. Includes bibliographical references.

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A survey of some regression-based and duality methods to value American and Bermudan options Bernard Joseph.

Joseph, BernardDepartment of Mathematics and Applied Mathematics2013

… for pricing high-dimensional American and Bermudan options for which backwards methods such as lattice and PDE methods do not work. The continuous-time pricing problem is approximated in discrete time and the problem is formulated as an optimal stopping problem. The optimal stopping time …

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Gaussian process regression approach to pricing multi-asset American options

Mokone, Christoffel MaboeDepartment of Finance and Tax2022

… explores the problem of pricing American options in high dimensions using machine learning. In particular, the Gaussian Process Regression Monte Carlo (GPR-MC) algorithm developed by Goudenege et al (2019). is explored, and ` its performance, i.e., its accuracy and efficiency, is …

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Energy markets - risk management, optimal liquidation, and derivatives

Metka, KevinUniversität Ulm

ulm-diss Repository record for Energy markets - risk management, optimal liquidation, and derivatives (opens in a new tab)