Application of kernel-based stochastic gradient algorithms to option pricing

We present an algorithm for American option pricing based on stochastic approximation techniques. Besides working on a finite subset of the exercise dates (e.g. considering the associated Bermudean option), option pricing algorithms generally involve another step of discretization, either on the sta...

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Veröffentlicht in:	Monte Carlo methods and applications 2008-07, Vol.14 (2), p.99-127
Hauptverfasser:	Barty, Kengy, Girardeau, Pierre, Strugarek, Cyrille, Roy, Jean-Sébastien
Format:	Artikel
Sprache:	eng
Schlagworte:	American option pricing kernel approximation Monte-Carlo methods stochastic algorithms
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