6 citations · 8 across the 11 of their papers we have counts for
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Hierarchical adaptive sparse grids and quasi Monte Carlo for option pricing under the rough Bergomi model
Christian Bayer, Chiheb Ben Hammouda, Raul Tempone
The rough Bergomi (rBergomi) model, introduced recently in [5], is a promising rough volatility model in quantitative finance. It is a parsimonious model depending on only three pa…
Pricing American Options by Exercise Rate Optimization
Christian Bayer, Raúl Tempone, Sören Wolfers
We present a novel method for the numerical pricing of American options based on Monte Carlo simulation and the optimization of exercise strategies. Previous solutions to this prob…
Implied Stopping Rules for American Basket Options from Markovian Projection
Christian Bayer, Juho Häppölä, Raúl Tempone
This work addresses the problem of pricing American basket options in a multivariate setting, which includes among others, the Bachelier and the Black-Scholes models. In high dimen…