SFB 649 Discussion Paper 2006-038 Adaptive Simulation Algorithms for Pricing American and Bermudan Options by Local Analysis of Financial Market Denis Belomestny* Grigori N. Milstein** * Weierstrass Institute for Applied Analysis and Stochastics, Berlin,...

SFB 649 Discussion Paper 2006-051 Regression methods in pricing American and Bermudan options using consumption processes Denis Belomestny* Grigori N. Milstein** Vladimir Spokoiny* * Weierstrass Institute for Applied Analysis and Stochastics, Berlin, Germany...