Pricing Bermudan options by nonparametric regression: optimal rates of convergence for lower estimates

Abstract

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 different nature, they may be local or global, with the only… (More)
DOI: 10.1007/s00780-010-0132-x

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@article{Belomestny2011PricingBO, title={Pricing Bermudan options by nonparametric regression: optimal rates of convergence for lower estimates}, author={Denis Belomestny}, journal={Finance and Stochastics}, year={2011}, volume={15}, pages={655-683} }