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|Title:||Sensitivities for Bermudan Options by Regression Methods|
Milstein, G. N.
|Publisher:||Springer Science and Business Media LLC|
|Citation:||Belomestny D. Sensitivities for Bermudan Options by Regression Methods / D. Belomestny, G. N. Milstein, J. Schoenmakers // Decisions in Economics and Finance. — 2010. — Vol. 33. — Iss. 2. — P. 117-138.|
|Abstract:||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 that allow, in combination with a regression approach, for efficient simultaneous computation of sensitivities at many initial positions. Assuming that the price of a Bermudan option can be evaluated sufficiently accurate, we develop a method for constructing deltas based on least squares. We finally propose a testing procedure for assessing the performance of the developed methods and give a numerical illustration. © 2009 Springer-Verlag.|
|Keywords:||AMERICAN AND BERMUDAN OPTIONS|
CONDITIONAL PROBABILISTIC REPRESENTATIONS
MONTE CARLO SIMULATION
OPTIMAL STOPPING TIMES
|metadata.dc.description.sponsorship:||Partially supported by the Deutsche Forschungsgemeinschaft through SFB 649 “Economic Risk” and DFG Research Center Matheon “Mathematics for Key Technologies” in Berlin.|
|Appears in Collections:||Научные публикации, проиндексированные в SCOPUS и WoS CC|
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