This paper presents a new method for spatially adaptive local likelihood estimation which applies to a broad class of nonparametric models, including the Gaussian, Poisson and binary response models. The main idea of the method is given a sequence of local likelihood estimates ("weak"...

Here we develop methods for efficient 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 the option. Applying the sample space with payoffs at the optimal...

The paper aims at reconsidering the famous Le Cam LAN theory. The main features of the approach which make it different from the classical one are: (1) the study is non-asymptotic, that is, the sample size is fixed and does not tend to infinity; (2) the parametric assumption is possibly...

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...