20 citations · 20 across the 4 of their papers we have counts for
6 papers
How many inner simulations to compute conditional expectations with least-square Monte Carlo?
Aurélien Alfonsi, Bernard Lapeyre, Jérôme Lelong
The problem of computing the conditional expectation E[f (Y)|X] with least-square Monte-Carlo is of general importance and has been widely studied. To solve this problem, it is usu…
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…
American Options Based on Malliavin Calculus and Nonparametric Variance Reduction Methods
Lokman Abbas-Turki, Bernard Lapeyre
This paper is devoted to pricing American options using Monte Carlo and the Malliavin calculus. Unlike the majority of articles related to this topic, in this work we will not use…
Convenient Multiple Directions of Stratification
Benjamin Jourdain, Bernard Lapeyre, Piergiacomo Sabino
This paper investigates the use of multiple directions of stratification as a variance reduction technique for Monte Carlo simulations of path-dependent options driven by Gaussian…
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…
Using Premia and Nsp for Constructing a Risk Management Benchmark for Testing Parallel Architecture
Jean-Philippe Chancelier, Jérôme Lelong, Bernard Lapeyre
Financial institutions have massive computations to carry out overnight which are very demanding in terms of the consumed CPU. The challenge is to price many different products on…