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Dokumenttyp:
Zeitschriftenaufsatz 
Autor(en):
Hepperger, P. 
Titel:
Pricing high-dimensional Bermudan options using variance-reduced Monte-Carlo methods 
Abstract:
We present a numerical method for pricing Bermudan options on a large number of underlyings. The asset prices are modeled with exponential time-inhomogeneous jump-diffusion processes. We improve the least-squares Monte Carlo method proposed by Longstaff and Schwartz introducing an efficient variance reduction scheme. A control variable is obtained from a low-dimensional approximation of the multivariate Bermudan option. To this end, we adapt a model reduction method called proper orthogonal d...    »
 
Zeitschriftentitel:
Journal of Computational Finance 
Jahr:
2013 
Band / Volume:
16 
Heft / Issue:
Seitenangaben Beitrag:
99-126 
Reviewed:
ja 
Sprache:
en 
Status:
Postprint / reviewed 
TUM Einrichtung:
Lehrstuhl für Mathematische Statistik 
Format:
Text