26 citations · 87 across the 17 of their papers we have counts for
Showing q-fin.CPShow all
3 papers · 1 filter
q-fin.CP2022
Pricing Bermudan options using regression trees/random forests
Zineb El Filali Ech-Chafiq, Pierre Henry-Labordere, Jérôme Lelong
The value of an American option is the maximized value of the discounted cash flows from the option. At each time step, one needs to compare the immediate exercise value with the c…
q-fin.CP2019★ 6 cited
Pricing path-dependent Bermudan options using Wiener chaos expansion: an embarrassingly parallel approach
Jérôme Lelong
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 appro…
q-fin.CP2010★ 20 cited
A framework for adaptive Monte-Carlo procedures
Bernard Lapeyre, Jérôme Lelong
Adaptive Monte Carlo methods are recent variance reduction techniques. In this work, we propose a mathematical setting which greatly relaxes the assumptions needed by for the adapt…