Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/25339
Authors: 
Belomestny, Denis
Year of Publication: 
2009
Series/Report no.: 
SFB 649 discussion paper 2009,023
Abstract: 
The problem of pricing Bermudan options using Monte Carlo and a nonparametric regression is considered. We derive optimal nonasymptotic bounds for a lower biased estimate based on the suboptimal stopping rule constructed using some estimates of continuation values. These estimates may be of different nature, they may be local or global, with the only requirement being that the deviations of these estimates from the true continuation values can be uniformly bounded in probability.
Subjects: 
Bermudan options
Regression
Boundary condition
Document Type: 
Working Paper

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