Resource title

Pricing Bermudan options using regression: optimal rates of convergence for lower estimates

Resource image

Resource description

The problem of pricing Bermudan options using Monte Carlo and a nonparametric regression is considered. We derive optimal nonasymptotic bounds for a lower biased estimate based on the suboptimal stopping rule constructed using some estimates of continuation values. These estimates may be of different nature, they may be local or global, with the only requirement being that the deviations of these estimates from the true continuation values can be uniformly bounded in probability.

Resource author

Denis Belomestny

Resource publisher

Resource publish date

Resource language

eng

Resource content type

text/html

Resource resource URL

http://hdl.handle.net/10419/25339

Resource license

Adapt according to the presented license agreement and reference the original author.