A nonparametric algorithm for optimal stopping based on robust optimization
Author
Abstract
Suggested Citation
Download full text from publisher
References listed on IDEAS
- Leif Andersen & Mark Broadie, 2004. "Primal-Dual Simulation Algorithm for Pricing Multidimensional American Options," Management Science, INFORMS, vol. 50(9), pages 1222-1234, September.
- Dorival Le~ao & Alberto Ohashi & Francesco Russo, 2017. "Discrete-type approximations for non-Markovian optimal stopping problems: Part I," Papers 1707.05234, arXiv.org, revised Jun 2019.
- Longstaff, Francis A & Schwartz, Eduardo S, 2001. "Valuing American Options by Simulation: A Simple Least-Squares Approach," The Review of Financial Studies, Society for Financial Studies, vol. 14(1), pages 113-147.
- David A. Goldberg & Yilun Chen, 2018. "Polynomial time algorithm for optimal stopping with fixed accuracy," Papers 1807.02227, arXiv.org, revised May 2024.
- Youyi Feng & Guillermo Gallego, 1995. "Optimal Starting Times for End-of-Season Sales and Optimal Stopping Times for Promotional Fares," Management Science, INFORMS, vol. 41(8), pages 1371-1391, August.
- Carriere, Jacques F., 1996. "Valuation of the early-exercise price for options using simulations and nonparametric regression," Insurance: Mathematics and Economics, Elsevier, vol. 19(1), pages 19-30, December.
- Sérgio C. Bezerra & Alberto Ohashi & Francesco Russo & Francys Souza, 2020. "Discrete-type Approximations for Non-Markovian Optimal Stopping Problems: Part II," Methodology and Computing in Applied Probability, Springer, vol. 22(3), pages 1221-1255, September.
- Dimitris Bertsimas & Dan A. Iancu & Pablo A. Parrilo, 2010. "Optimality of Affine Policies in Multistage Robust Optimization," Mathematics of Operations Research, INFORMS, vol. 35(2), pages 363-394, May.
- Hamed Mamani & Shima Nassiri & Michael R. Wagner, 2017. "Closed-Form Solutions for Robust Inventory Management," Management Science, INFORMS, vol. 63(5), pages 1625-1643, May.
- Jim Gatheral & Thibault Jaisson & Mathieu Rosenbaum, 2018. "Volatility is rough," Quantitative Finance, Taylor & Francis Journals, vol. 18(6), pages 933-949, June.
- Warren P. Adams & Hanif D. Sherali, 1986. "A Tight Linearization and an Algorithm for Zero-One Quadratic Programming Problems," Management Science, INFORMS, vol. 32(10), pages 1274-1290, October.
- Dan A. Iancu & Mayank Sharma & Maxim Sviridenko, 2013. "Supermodularity and Affine Policies in Dynamic Robust Optimization," Operations Research, INFORMS, vol. 61(4), pages 941-956, August.
- S'ergio C. Bezerra & Alberto Ohashi & Francesco Russo & Francys de Souza, 2017. "Discrete-type approximations for non-Markovian optimal stopping problems: Part II," Papers 1707.05250, arXiv.org, revised Dec 2019.
- Ludovic Goudenège & Andrea Molent & Antonino Zanette, 2020. "Machine learning for pricing American options in high-dimensional Markovian and non-Markovian models," Quantitative Finance, Taylor & Francis Journals, vol. 20(4), pages 573-591, April.
- Christian Bayer & Juho Häppölä & Raúl Tempone, 2019. "Implied stopping rules for American basket options from Markovian projection," Quantitative Finance, Taylor & Francis Journals, vol. 19(3), pages 371-390, March.
- Philip Protter & Emmanuelle Clément & Damien Lamberton, 2002. "An analysis of a least squares regression method for American option pricing," Finance and Stochastics, Springer, vol. 6(4), pages 449-471.
- Jiankun Sun & Jan A. Van Mieghem, 2019. "Robust Dual Sourcing Inventory Management: Optimality of Capped Dual Index Policies and Smoothing," Manufacturing & Service Operations Management, INFORMS, vol. 21(4), pages 912-931, October.
- Martin B. Haugh & Leonid Kogan, 2004. "Pricing American Options: A Duality Approach," Operations Research, INFORMS, vol. 52(2), pages 258-270, April.
- Christian Bayer & Raúl Tempone & Sören Wolfers, 2020. "Pricing American options by exercise rate optimization," Quantitative Finance, Taylor & Francis Journals, vol. 20(11), pages 1749-1760, November.
- L. C. G. Rogers, 2002. "Monte Carlo valuation of American options," Mathematical Finance, Wiley Blackwell, vol. 12(3), pages 271-286, July.
- Broadie, Mark & Glasserman, Paul, 1997. "Pricing American-style securities using simulation," Journal of Economic Dynamics and Control, Elsevier, vol. 21(8-9), pages 1323-1352, June.
- Mark Broadie & Jérôme Detemple, 1997.
"The Valuation of American Options on Multiple Assets,"
Mathematical Finance, Wiley Blackwell, vol. 7(3), pages 241-286, July.
- Mark Broadie & Jérôme Detemple, 1994. "The Valuation of American Options on Multiple Assets," CIRANO Working Papers 94s-08, CIRANO.
- Naoto Kunitomo & Masayuki Ikeda, 1992. "Pricing Options With Curved Boundaries1," Mathematical Finance, Wiley Blackwell, vol. 2(4), pages 275-298, October.
- Vijay V. Desai & Vivek F. Farias & Ciamac C. Moallemi, 2012. "Pathwise Optimization for Optimal Stopping Problems," Management Science, INFORMS, vol. 58(12), pages 2292-2308, December.
- Israel David & Uri Yechiali, 1985. "A Time-dependent Stopping Problem with Application to Live Organ Transplants," Operations Research, INFORMS, vol. 33(3), pages 491-504, June.
- Longstaff, Francis A & Schwartz, Eduardo S, 2001. "Valuing American Options by Simulation: A Simple Least-Squares Approach," University of California at Los Angeles, Anderson Graduate School of Management qt43n1k4jb, Anderson Graduate School of Management, UCLA.
- Jean-Claude Picard, 1976. "Maximal Closure of a Graph and Applications to Combinatorial Problems," Management Science, INFORMS, vol. 22(11), pages 1268-1272, July.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Sebastian Becker & Patrick Cheridito & Arnulf Jentzen & Timo Welti, 2019. "Solving high-dimensional optimal stopping problems using deep learning," Papers 1908.01602, arXiv.org, revised Aug 2021.
- Denis Belomestny & Grigori Milstein & Vladimir Spokoiny, 2009.
"Regression methods in pricing American and Bermudan options using consumption processes,"
Quantitative Finance, Taylor & Francis Journals, vol. 9(3), pages 315-327.
- Belomestny, Denis & Milstein, Grigori N. & Spokoiny, Vladimir, 2006. "Regression methods in pricing American and Bermudan options using consumption processes," SFB 649 Discussion Papers 2006-051, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- Jin, Xing & Yang, Cheng-Yu, 2016. "Efficient estimation of lower and upper bounds for pricing higher-dimensional American arithmetic average options by approximating their payoff functions," International Review of Financial Analysis, Elsevier, vol. 44(C), pages 65-77.
- Mark Broadie & Jerome B. Detemple, 2004. "ANNIVERSARY ARTICLE: Option Pricing: Valuation Models and Applications," Management Science, INFORMS, vol. 50(9), pages 1145-1177, September.
- Cosma, Antonio & Galluccio, Stefano & Pederzoli, Paola & Scaillet, Olivier, 2020.
"Early Exercise Decision in American Options with Dividends, Stochastic Volatility, and Jumps,"
Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 55(1), pages 331-356, February.
- Antonio Cosma & Stefano Galluccio & Paola Pederzoli & Olivier Scaillet, 2016. "Early exercise decision in American options with dividends, stochastic volatility and jumps," Papers 1612.03031, arXiv.org.
- Antonio Cosma & Stefano Galluccio & Paola Pederzoli & O. Scaillet, 2016. "Early Exercise Decision in American Options with Dividends, Stochastic Volatility and Jumps," Swiss Finance Institute Research Paper Series 16-73, Swiss Finance Institute.
- Cosma, Antonio & Galluccio, Stefano & Scaillet, Olivier, 2012.
"Valuing American options using fast recursive projections,"
Working Papers
unige:41856, University of Geneva, Geneva School of Economics and Management.
- Cosma, Antonio & Galluccio, Stefano & Pederzoli, Paola & Scaillet, Olivier, 2016. "Valuing American options using fast recursive projections," Working Papers unige:82087, University of Geneva, Geneva School of Economics and Management.
- Antonio Cosma & Stefano Galluccio & Paola Pederzoli & Olivier Scaillet, 2015. "Valuing American options using fast recursive projections," DEM Discussion Paper Series 15-20, Department of Economics at the University of Luxembourg.
- Antonio Cosma & Stefano Galluccio & Paola Pederzoli & O. Scaillet, 2012. "Valuing American Options Using Fast Recursive Projections," Swiss Finance Institute Research Paper Series 12-26, Swiss Finance Institute.
- Garcia, Diego, 2003. "Convergence and Biases of Monte Carlo estimates of American option prices using a parametric exercise rule," Journal of Economic Dynamics and Control, Elsevier, vol. 27(10), pages 1855-1879, August.
- Ammann, Manuel & Kind, Axel & Wilde, Christian, 2008.
"Simulation-based pricing of convertible bonds,"
Journal of Empirical Finance, Elsevier, vol. 15(2), pages 310-331, March.
- Manuel Ammann & Axel Kind & Christian Wilde, 2005. "Simulation-Based Pricing of Convertible Bonds," Finance 0507015, University Library of Munich, Germany.
- Dragos Florin Ciocan & Velibor V. Mišić, 2022. "Interpretable Optimal Stopping," Management Science, INFORMS, vol. 68(3), pages 1616-1638, March.
- Jérôme Lelong, 2019. "Pricing path-dependent Bermudan options using Wiener chaos expansion: an embarrassingly parallel approach," Working Papers hal-01983115, HAL.
- Burcu Aydoğan & Ümit Aksoy & Ömür Uğur, 2018. "On the methods of pricing American options: case study," Annals of Operations Research, Springer, vol. 260(1), pages 79-94, January.
- Ravi Kashyap, 2016. "Options as Silver Bullets: Valuation of Term Loans, Inventory Management, Emissions Trading and Insurance Risk Mitigation using Option Theory," Papers 1609.01274, arXiv.org, revised Mar 2022.
- Mark Broadie & Menghui Cao, 2008. "Improved lower and upper bound algorithms for pricing American options by simulation," Quantitative Finance, Taylor & Francis Journals, vol. 8(8), pages 845-861.
- J'er^ome Lelong, 2019. "Pricing path-dependent Bermudan options using Wiener chaos expansion: an embarrassingly parallel approach," Papers 1901.05672, arXiv.org, revised Jul 2020.
- Chen Liu & Henry Schellhorn & Qidi Peng, 2019. "American Option Pricing With Regression: Convergence Analysis," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 22(08), pages 1-31, December.
- Maximilian Mair & Jan Maruhn, 2013. "On the primal-dual algorithm for callable Bermudan options," Review of Derivatives Research, Springer, vol. 16(1), pages 79-110, April.
- Sérgio C. Bezerra & Alberto Ohashi & Francesco Russo & Francys Souza, 2020. "Discrete-type Approximations for Non-Markovian Optimal Stopping Problems: Part II," Methodology and Computing in Applied Probability, Springer, vol. 22(3), pages 1221-1255, September.
- Ravi Kashyap, 2022. "Options as Silver Bullets: Valuation of Term Loans, Inventory Management, Emissions Trading and Insurance Risk Mitigation using Option Theory," Annals of Operations Research, Springer, vol. 315(2), pages 1175-1215, August.
- Volker Krätschmer & Marcel Ladkau & Roger J. A. Laeven & John G. M. Schoenmakers & Mitja Stadje, 2018. "Optimal Stopping Under Uncertainty in Drift and Jump Intensity," Mathematics of Operations Research, INFORMS, vol. 43(4), pages 1177-1209, November.
- Jérôme Lelong, 2018. "Dual pricing of American options by Wiener chaos expansion," Post-Print hal-01299819, HAL.
More about this item
NEP fields
This paper has been announced in the following NEP Reports:- NEP-CMP-2021-03-22 (Computational Economics)
- NEP-ORE-2021-03-22 (Operations Research)
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:arx:papers:2103.03300. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: arXiv administrators (email available below). General contact details of provider: http://arxiv.org/ .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.