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Title:

Pricing high-dimensional Bermudan options using variance-reduced Monte-Carlo methods

Document type:
Zeitschriftenaufsatz
Author(s):
Hepperger, P.
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 de...     »
Journal title:
Journal of Computational Finance
Year:
2013
Journal volume:
16
Journal issue:
3
Pages contribution:
99-126
Reviewed:
ja
Language:
en
Status:
Postprint / reviewed
TUM Institution:
Lehrstuhl für Mathematische Statistik
Format:
Text
 BibTeX