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Международная конференция «Stochastic Optimization and Optimal Stopping»
26 сентября 2012 г. 12:10, г. Москва, МИАН

Пленарные доклады

Multilevel primal and dual approaches for pricing American options

John Schoenmakers

Weierstrass Institute, Berlin



Аннотация: In this talk we propose two novel simulation based approaches for pricing American options. The first one is a multilevel version of the well-known nested Monte Carlo algorithm of Andersen and Broadie (2004), whereas the second one is a multi level version of simulation based policy iteration.

Язык доклада: английский


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