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- W3032321872 abstract "We develop a mixed least square Monte Carlo-partial differential equation (LSMC-PDE) method for pricing Bermudan style options with assets whose dynamics are driven by latent variables. The algorithm is formulated for an arbitrary number of assets and volatility processes, and its probabilistic convergence is established. Our numerical examples focus on the Heston model and we compare our hybrid algorithm with a full LSMC approach. Using Fourier methods we are able to derive efficient FFT based solutions, and we demonstrate that our algorithm greatly reduces the variance in the computed prices and optimal exercise boundaries. We also compare the early exercise boundaries and prices computed by our hybrid algorithm with those produced by finite difference methods and find excellent agreement." @default.
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- W3032321872 date "2016-01-01" @default.
- W3032321872 modified "2023-09-26" @default.
- W3032321872 title "Mixing LSMC and PDE Methods to Price Bermudan Options" @default.
- W3032321872 doi "https://doi.org/10.2139/ssrn.2870962" @default.
- W3032321872 hasPublicationYear "2016" @default.
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