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Multilevel dual approach for pricing American style derivates

Belomestny, Denis; Schoenmakers, John; Dickmann, Fabian - In: Finance and stochastics 17 (2013) 4, pp. 717-742

Persistent link: https://www.econbiz.de/10010190883

Optimal stopping under uncertainty in drift and jump intensity

Krätschmer, Volker; Ladkau, Marcel; Laeven, Roger J. A.; … - In: Mathematics of operations research 43 (2018) 4, pp. 1177-1209

Persistent link: https://www.econbiz.de/10011956978

Monte Carlo methods for pricing and hedging American options

Milʹstejn, Grigorij N.; Reiß, Oliver; Schoenmakers, John - Weierstraß-Institut für Angewandte Analysis und Stochastik - 2003

Carlo simulation of suitable probabilistic representations in connection with the respective parabolic boundary value … problem. The methods presented are supported by numerical simulation experiments. …

Persistent link: https://www.econbiz.de/10001802364

Sensitivities for Bermudan options by regression methods

Belomestny, Denis; Milʹstejn, Grigorij N.; … - In: Decisions in economics and finance : DEF ; a journal of … 33 (2010) 2, pp. 117-138

Persistent link: https://www.econbiz.de/10008668146

Regression methods for stochastic control problems and their convergence analysis

Belomestny, Denis; Kolodko, Anastasia; Schoenmakers, John - 2009

In this paper we develop several regression algorithms for solving general stochastic optimal control problems via Monte Carlo. This type of algorithms is particularly useful for problems with a highdimensional state space and complex dependence structure of the underlying Markov process with...

Persistent link: https://www.econbiz.de/10003835132

Iterative construction of the optimal Bermudan stopping time

Kolodko, Anastasia; Schoenmakers, John - In: Finance and stochastics 10 (2006) 1, pp. 27-49

Persistent link: https://www.econbiz.de/10003234943

Sensitivities for Bermudan options by regression methods

Belomestny, Denis (contributor); … - 2007

Bermudan options using regression methods and Monte Carlo simulation. These methods rely on conditional probabilistic … of the developed methods. -- American and Bermudan options ; Optimal stopping times ; Monte Carlo simulation ; Deltas …

Persistent link: https://www.econbiz.de/10003634598

True upper bounds for Bermudan products via non-nested Monte Carlo

Belomestny, Denis; Bender, Christian; Schoenmakers, John - In: Mathematical finance : an international journal of … 19 (2009) 1, pp. 53-71

Persistent link: https://www.econbiz.de/10003818229

Dynamic programming for optimal stopping via pseudo-regression

Bayer, Christian; Redmann, Martin; Schoenmakers, John - In: Quantitative finance 21 (2021) 1, pp. 29-44

Persistent link: https://www.econbiz.de/10012424631

Advanced simulation-based methods for optimal stopping and control : with applications in finance

Belomestny, Denis; Schoenmakers, John - 2018

Persistent link: https://www.econbiz.de/10011779646