2 papers
q-fin.MF2024
Tighter 'uniform bounds for Black-Scholes implied volatility' and the applications to root-finding
Jaehyuk Choi, Jeonggyu Huh, Nan Su
Using the option delta systematically, we derive tighter lower and upper bounds of the Black-Scholes implied volatility than those in Tehranchi [SIAM J. Financ. Math. 7 (2016), 893…
q-fin.CP2024
Leave-one-out least squares Monte Carlo algorithm for pricing Bermudan options
Jeechul Woo, Chenru Liu, Jaehyuk Choi
The least squares Monte Carlo (LSM) algorithm proposed by Longstaff and Schwartz (2001) is widely used for pricing Bermudan options. The LSM estimator contains undesirable look-ahe…