Research Group "Stochastic Algorithms and Nonparametric Statistics"
Seminar "Modern Methods in Applied Stochastics and Nonparametric Statistics" Summer Semester 2019
|
|
| 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