A greedy algorithm for partition of unity collocation method in pricing American options
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DOI: 10.1002/mma.5757
Abstract: A greedy algorithm in combination with radial basis functions partition of unity collocation (GRBF‐PUC) scheme is used as a locally meshless method for American option pricing. The radial basis function partition of unity method (RBF‐PUM)… read more here.
Keywords: greedy algorithm; pricing american; unity collocation; american options ... See more keywords
LAPLACE BOUNDS APPROXIMATION FOR AMERICAN OPTIONS
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DOI: 10.1017/s0269964820000492
Abstract: In this paper, we develop the lower–upper-bound approximation in the space of Laplace transforms for pricing American options. We construct tight lower and upper bounds for the price of a finite-maturity American option when the… read more here.
Keywords: bound; american options; laplace bounds; bounds approximation ... See more keywords
Primal–dual quasi-Monte Carlo simulation with dimension reduction for pricing American options
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DOI: 10.1080/14697688.2020.1753884
Abstract: The pricing of American options is one of the most challenging problems in financial engineering due to the involved optimal stopping time problem, which can be solved by using dynamic programming (DP). But applying DP… read more here.
Keywords: monte carlo; dimension reduction; american options; simulation ... See more keywords
Efficient pricing and hedging of high-dimensional American options using deep recurrent networks
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DOI: 10.1080/14697688.2023.2167666
Abstract: We propose a deep recurrent neural network (RNN) framework for computing prices and deltas of American options in high dimensions. Our proposed framework uses two deep RNNs, where one network learns the continuation price and… read more here.
Keywords: efficient pricing; pricing hedging; american options; framework ... See more keywords