Arbeitspapier
Sensitivities for Bermudan options by regression methods
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 probabilistic representations which allow, in combination with a regression approach, for efficient simultaneous computation of sensitivities at many initial positions. Assuming that the price of a Bermudan option can be evaluated sufficiently accurate, we develop a method for constructing deltas based on least squares. We finally propose a testing procedure for assessing the performance of the developed methods.
- Sprache
-
Englisch
- Erschienen in
-
Series: SFB 649 Discussion Paper ; No. 2007,048
- Klassifikation
-
Wirtschaft
- Thema
-
American and Bermudan options
Optimal stopping times
Monte Carlo simulation
Deltas
Conditional probabilistic representations
Regression methods
Optionspreistheorie
Suchtheorie
Regression
Monte-Carlo-Methode
Theorie
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Belomestny, Denis
Milstein, Grigori N.
Schoenmakers, John G. M.
- Ereignis
-
Veröffentlichung
- (wer)
-
Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk
- (wo)
-
Berlin
- (wann)
-
2007
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:45 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Belomestny, Denis
- Milstein, Grigori N.
- Schoenmakers, John G. M.
- Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk
Entstanden
- 2007
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