Browsing by Author "Milstein, Grigori"

Now showing items 1-4 of 4

2006-04-28Buch

Adaptive Simulation Algorithms for Pricing American and Bermudan Options by Local Analysis of Financial Market

Belomestny, Denis; Milstein, Grigori

Here we develop an approach for efficient pricing discrete-time American and Bermudan options which employs the fact that such options are equivalent to the European ones with a consumption, combined with analysis of the ...
2006-05-02Buch

Forward and reverse representations for Markov chains

Milstein, Grigori; Schoenmakers, John; Spokoiny, Vladimir

In this paper we carry over the concept of reverse probabilistic representations developed in Milstein, Schoenmakers, Spokoiny (2004) for diffusion processes, to discrete time Markov chains. We outline the construction of ...
2006-07-06Buch

Regression methods in pricing American and Bermudan options using consumption processes

Belomestny, Denis; Milstein, Grigori; Spokoiny, Vladimir

Here we develop methods for e±cient pricing multidimensional discrete-time American and Bermudan options by using regression based algorithms together with a new approach towards constructing upper bounds for the price of ...
2007-08-01Buch

Sensitivities for Bermudan Options by Regression Methods

Belomestny, Denis; Milstein, Grigori; Schoenmakers, John

In this article we propose several pathwise and finite difference based methods for calculating sensitivities of Bermudan options using regression methods and Monte Carlo simulation. These methods rely on conditional ...