2 papers
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.PR2011
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…