Pricing Bermudan Options via Multilevel Approximation Methods

被引：11

作者：

Belomestny, Denis ^{[1
]}

Dickmann, Fabian ^{[1
]}

Nagapetyan, Tigran ^{[2
]}

机构：

[1] Duisburg Essen Univ, Dept Math, D-45127 Essen, Germany

[2] Weierstrass Inst Appl Math, D-10117 Berlin, Germany

来源：

SIAM JOURNAL ON FINANCIAL MATHEMATICS | 2015年 / 6卷 / 01期

关键词：

Bermudan options; multilevel Monte Carlo; mesh method; global regression; complexity analysis; SIMULATION; REGRESSION;

D O I：

10.1137/130912426

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

In this article we propose a novel approach to reducing the computational complexity of various approximation methods for pricing discrete time American or Bermudan options. Given a sequence of continuation values estimates corresponding to different levels of spatial approximation, we propose a multilevel low biased estimate for the price of the option. It turns out that the resulting complexity gain can be of order epsilon(-1) with e denoting the desired precision. The performance of the proposed multilevel algorithms is illustrated by a numerical example.

引用

页码：448 / 466

页数：19

共 15 条

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[2]

Andersen L, 1999, J COMPUT FINANC, V3, P5, DOI DOI 10.21314/JCF.1999.041

[3] Multilevel dual approach for pricing American style derivatives [J].