26 citations · 87 across the 17 of their papers we have counts for
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math.PR2019
Neural network regression for Bermudan option pricing
Bernard Lapeyre, Jérôme Lelong
The pricing of Bermudan options amounts to solving a dynamic programming principle, in which the main difficulty, especially in high dimension, comes from the conditional expectati…
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…