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Adaptive simulation algorithms for pricing American and Bermudan options by local analysis of financial market
Belomestny, Denis; Mil¤stejn, Grigorij N. - 2006
consider a discrete-time financial model and let (Bti,Xti) = (Bti,X1ti,...,Xdti), i = 0,1,...,L, be the vector of prices at … order to construct local low bounds we need to compute the prices of the corresponding European style options vt+θt (x) = e … Dynamics and Control, 21, 1267-1321. [5] M. Broadie, P. Glasserman (1997). Pricing American-style securities using simulation …
Persistent link: https://www.econbiz.de/10004868963
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Sensitivities for Bermudan options by regression methods
Belomestny, Denis; Mil¤stejn, Grigorij N.; … - 2007
Persistent link: https://www.econbiz.de/10004894912
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Central limit theorems for law-invariant coherent risk measures
Belomestny, Denis; Krätschmer, Volker - 2010
Persistent link: https://www.econbiz.de/10009139516
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A stochastic volatility libor model and its robust calibration
Belomestny, Denis (contributor);  … - 2007
In this paper we propose a Libor model with a high-dimensional specially structured system of driving CIR volatility processes. A stable calibration prodecure which takes into account a given local correlation structure is presented. The calibration algorithm is FFT based, so fast and easy to...
Persistent link: https://www.econbiz.de/10003635097
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A jump-diffusion Libor model and its robust calibration
Belomestny, Denis (contributor);  … - 2006
Persistent link: https://www.econbiz.de/10003324469
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Pricing CMS spreads in the Libor market model
Belomestny, Denis; Kolodko, Anastasia; Schoenmakers, … - 2008
Persistent link: https://www.econbiz.de/10003809706
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Pricing CMS spread options in a Libor market model
Belomestny, Denis; Kolodko, Anastasia; Schoenmakers, John - In: International journal of theoretical and applied finance 13 (2010) 1, pp. 45-62
Persistent link: https://www.econbiz.de/10008860424
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Pricing CMS Spread Options in a Libor Market Model
Schoenmakers, John - 2010
option prices and can be used for calibration of a Libor market model to the CMS spread option market …
Persistent link: https://www.econbiz.de/10013142497
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Spectral estimation of the fractional order of a Lévy process
Belomestny, Denis - 2009
We consider the problem of estimating the fractional order of a Lévy process from low frequency historical and options data. An estimation methodology is developed which allows us to treat both estimation and calibration problems in a unified way. The corresponding procedure consists of two...
Persistent link: https://www.econbiz.de/10010263764
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Pricing Bermudan options using regression: optimal rates of convergence for lower estimates
Belomestny, Denis - 2009
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...
Persistent link: https://www.econbiz.de/10010263766