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International Journal of Computer Mathematics Volume 89, 2012 - Issue 9: COMPUTATIONAL METHODS FOR PDEs IN FINANCE
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Section B

Pricing high-dimensional Bermudan options using the stochastic grid method

Shashi Jain TU Delft, Delft Institute of Applied Mathematics, Delft, The Netherlands; Nuclear Research Group, Petten, The NetherlandsCorrespondence[email protected] [email protected]
&
Cornelis W. Oosterlee TU Delft, Delft Institute of Applied Mathematics, Delft, The Netherlands; CWI-Centrum Wiskunde & Informatica, Amsterdam, The Netherlands
Pages 1186-1211 | Received 13 Oct 2011, Accepted 23 Apr 2012, Published online: 24 May 2012

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Íñigo Arregui, Álvaro Leitao, Beatriz Salvador & Carlos Vázquez. (2023) Efficient parallel Monte-Carlo techniques for pricing American options including counterparty credit risk. International Journal of Computer Mathematics 0:0, pages 1-21.
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Johan Auster, Ludovic Mathys & Fabio Maeder. (2022) JDOI variance reduction method and the pricing of American-style options. Quantitative Finance 22:4, pages 639-656.
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Ludovic Goudenège, Andrea Molent & Antonino Zanette. (2020) Machine learning for pricing American options in high-dimensional Markovian and non-Markovian models. Quantitative Finance 20:4, pages 573-591.
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C. S. L. de Graaf, D. Kandhai & C. Reisinger. (2018) Efficient exposure computation by risk factor decomposition. Quantitative Finance 18:10, pages 1657-1678.
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Articles from other publishers (22)

Yuecai Han & Xudong Zheng. (2024) A deep learning method for pricing high-dimensional American-style options via state-space partition. Computational and Applied Mathematics 43:3.
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Zhengqing Zhou, Guanyang Wang, Jose H. Blanchet & Peter W. Glynn. (2023) Unbiased Optimal Stopping via the MUSE. Stochastic Processes and their Applications 166, pages 104088.
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Emy Siswanah, Ahmad Mutawaslih Idrus & Muhammad Malik Hakim. (2023) Binomial Method in Bermudan Option. Journal of Multidisciplinary Applied Natural Science.
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SEBASTIAN BECKER, PATRICK CHERIDITO, ARNULF JENTZEN & TIMO WELTI. (2021) Solving high-dimensional optimal stopping problems using deep learning. European Journal of Applied Mathematics 32:3, pages 470-514.
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Michael Ludkovski & Aditya Maheshwari. (2019) Simulation methods for stochastic storage problems: a statistical learning perspective. Energy Systems 11:2, pages 377-415.
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Emmanuel Gobet, Gang Liu & Jorge P. Zubelli. (2018) A Nonintrusive Stratified Resampler for Regression Monte Carlo: Application to Solving Nonlinear Equations. SIAM Journal on Numerical Analysis 56:1, pages 50-77.
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Yaqin Feng & Min Wang. 2018. Finance & Economics Readings. Finance & Economics Readings 99 116 .
HARVEY J. STEIN. (2016) FIXING RISK NEUTRAL RISK MEASURES. International Journal of Theoretical and Applied Finance 19:03, pages 1650021.
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Patrik Karlsson, Shashi Jain & Cornelis W. Oosterlee. (2016) Fast and accurate exercise policies for Bermudan swaptions in the LIBOR market model. International Journal of Financial Engineering 03:01, pages 1650005.
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Xing Jin & Cheng-Yu Yang. (2016) Efficient estimation of lower and upper bounds for pricing higher-dimensional American arithmetic average options by approximating their payoff functions. International Review of Financial Analysis 44, pages 65-77.
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Shashi Jain & Cornelis W. Oosterlee. (2015) The Stochastic Grid Bundling Method: Efficient pricing of Bermudan options and their Greeks. Applied Mathematics and Computation 269, pages 412-431.
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CORNELIS S. L. DE GRAAF, QIAN FENG, DRONA KANDHAI & CORNELIS W. OOSTERLEE. (2014) EFFICIENT COMPUTATION OF EXPOSURE PROFILES FOR COUNTERPARTY CREDIT RISK. International Journal of Theoretical and Applied Finance 17:04, pages 1450024.
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Shashi Jain, Ferry Roelofs & Cornelis W. Oosterlee. (2013) Construction strategies and lifetime uncertainties for nuclear projects: A real option analysis. Nuclear Engineering and Design 265, pages 319-329.
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Shashi Jain, Ferry Roelofs & Cornelis W. Oosterlee. (2013) Valuing modular nuclear power plants in finite time decision horizon. Energy Economics 36, pages 625-636.
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M. J. Ruijter & C. W. Oosterlee. (2012) Two-Dimensional Fourier Cosine Series Expansion Method for Pricing Financial Options. SIAM Journal on Scientific Computing 34:5, pages B642-B671.
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Johan Auster, Ludovic Mathys & Fabio Mäder. (2021) JDOI Variance Reduction Method and the Pricing of American-Style Options. SSRN Electronic Journal.
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Qian Feng, Shashi Jain, Patrik Karlsson & Cornelis W. Oosterlee. (2016) Efficient Computation of Exposure Profiles on Real-World and Risk-Neutral Scenarios for Bermudan Swaptions. SSRN Electronic Journal.
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Patrik Karlsson, Shashi Jain & Cornelis W. Oosterlee. (2013) Fast and Accurate Exercise Policies for Bermudan Swaptions in Libor Market Model. SSRN Electronic Journal.
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Xing Jin & Cheng-Yu Yang. (2015) Efficient Estimation of Lower and Upper Bounds for Pricing Higher-Dimensional American Arithmetic Average Options by Approximating Their Payoff Functions. SSRN Electronic Journal.
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Cornelis S.L. de Graaf, Qian Feng, Drona Kandhai & Cornelis W. Oosterlee. (2014) Efficient Computation of Exposure Profiles for Counterparty Credit Risk. SSRN Electronic Journal.
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Harvey J. Stein. (2013) Fixing Underexposed Snapshots -- Proper Computation of Credit Exposures Under the Real World and Risk Neutral Measures. SSRN Electronic Journal.
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Shashi Jain & Cornelis W. Oosterlee. (2012) The Stochastic Grid Bundling Method: Efficient Pricing of Multidimensional Bermudan Options and the Greeks. SSRN Electronic Journal.
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