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Quantitative Finance Volume 9, 2009 - Issue 3
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Research Papers

Regression methods in pricing American and Bermudan options using consumption processes

Denis Belomestny Weierstrass-Institute, Mohrenstr. 39, 10117 Berlin, GermanyCorrespondence[email protected]
,
Grigori Milstein Ural State University, Lenin Str. 51, 620083 Ekaterinburg, Russia
&
Vladimir Spokoiny Weierstrass-Institute, Mohrenstr. 39, 10117 Berlin, Germany
Pages 315-327 | Received 11 Oct 2006, Accepted 25 Apr 2008, Published online: 15 Apr 2009

Citations (15)

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Read on this site (2)

Jiangming Xiang & Xiaoqun Wang. (2020) Primal–dual quasi-Monte Carlo simulation with dimension reduction for pricing American options. Quantitative Finance 20:10, pages 1701-1720.
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PHELIM P. BOYLE, ADAM W. KOLKIEWICZ & KEN SENG TAN. (2013) Pricing Bermudan options using low-discrepancy mesh methods. Quantitative Finance 13:6, pages 841-860.
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Articles from other publishers (13)

Lars Palapies. (2023) Laplace transforms of stochastic integrals and the pricing of Bermudan swaptions. Decisions in Economics and Finance 46:2, pages 415-460.
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Denis Belomestny, Stefan Häfner & Mikhail Urusov. (2018) Regression-Based Complexity Reduction of the Nested Monte Carlo Methods. SIAM Journal on Financial Mathematics 9:2, pages 665-689.
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Mark Joshi & Robert Tang. (2014) Effective sub-simulation-free upper bounds for the Monte Carlo pricing of callable derivatives and various improvements to existing methodologies. Journal of Economic Dynamics and Control 40, pages 25-45.
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John Schoenmakers. (2010) A pure martingale dual for multiple stopping. Finance and Stochastics 16:2, pages 319-334.
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Denis Belomestny. (2010) Pricing Bermudan options by nonparametric regression: optimal rates of convergence for lower estimates. Finance and Stochastics 15:4, pages 655-683.
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Denis Belomestny, G. N. Milstein & John Schoenmakers. (2009) Sensitivities for Bermudan options by regression methods. Decisions in Economics and Finance 33:2, pages 117-138.
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Volker Krätschmer & John Schoenmakers. (2010) Representations for Optimal Stopping under Dynamic Monetary Utility Functionals. SIAM Journal on Financial Mathematics 1:1, pages 811-832.
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Denis Belomestny, Anastasia Kolodko & John Schoenmakers. (2010) Regression Methods for Stochastic Control Problems and Their Convergence Analysis. SIAM Journal on Control and Optimization 48:5, pages 3562-3588.
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Zhiyi Shen & Chengguo Weng. (2019) A Backward Simulation Method for Stochastic Optimal Control Problems. SSRN Electronic Journal.
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Xiang Cheng & Mark S. Joshi. (2017) Sub-Simulation-Free Upper Bounds for Bermudan Derivatives. SSRN Electronic Journal.
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Mark S. Joshi & Robert Tang. (2012) Improved Sub-Simulation-Free Upper Bounds for the Monte Carlo Pricing of Callable Derivatives and Various Improvements to Existing Methodologies. SSRN Electronic Journal.
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John Schoenmakers. (2009) The Real Multiple Dual. SSRN Electronic Journal.
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Denis Belomestny, Anastasia Kolodko & John Schoenmakers. (2008) Regression Methods for Stochastic Control Problems. SSRN Electronic Journal.
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