Research Group "Stochastic Algorithms and Nonparametric Statistics"

Seminar "Modern Methods in Applied Stochastics and Nonparametric Statistics" Summer Semester 2019

  • Place: Weierstrass-Institute for Applied Analysis and Stochastics, Room 406 (4th floor), Mohrenstraße 39, 10117 Berlin
  • Time: Tuesdays, 3:00PM - 4:00PM
16.04.2019 Jérôme Lelong (Université Grenoble Alpes, France)
Pricing path-dependent Bermudan options using Wiener chaos expansion: An embarrassingly parallel approach
In this work, we propose a new policy iteration algorithm for pricing Bermudan options when the payoff process cannot be written as a function of a lifted Markov process. Our approach is based on a modification of the well-known Longstaff Schwartz algorithm, in which we basically replace the standard least square regression by a Wiener chaos expansion. Not only does it allow us to deal with a non Markovian setting, but it also breaks the bottleneck induced by the least square regression as the coefficients of the chaos expansion are given by scalar products on the L^2 space and can therefore be approximated by independent Monte Carlo computations. This key feature enables us to provide an embarrassingly parallel algorithm.
23.04.2019

30.04.2019

07.05.2019

14.05.2019

21.05.2019
Seminar room ESH at MO 39
28.05.2019

04.06.2019

11.06.2019

18.06.2019

25.06.2019

02.07.2019

09.07.2019

16.07.2019

23.07.2019

30.07.2019

06.08.2019

13.08.2019

20.08.2019

27.08.2019

03.09.2019










last reviewed: April 10, 2019 by Christine Schneider