英文标题：
《Bermudan options by simulation》
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作者：
L. C. G. Rogers
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最新提交年份：
2016
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英文摘要：
  The aim of this study is to devise numerical methods for dealing with very high-dimensional Bermudan-style derivatives. For such problems, we quickly see that we can at best hope for price bounds, and we can only use a simulation approach. We use the approach of Barraquand & Martineau which proposes that the reward process should be treated as if it were Markovian, and then uses this to generate a stopping rule and hence a lower bound on the price. Using the dual approach introduced by Rogers, and Haugh & Kogan, this approximate Markov process leads us to hedging strategies, and upper bounds on the price. The methodology is generic, and is illustrated on eight examples of varying levels of difficulty. Run times are largely insensitive to dimension.
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中文摘要：
本研究的目的是设计数值方法来处理非常高维的百慕大式导数。对于这样的问题，我们很快就会发现，我们最多只能指望价格界限，我们只能使用模拟方法。我们使用Barraquand&Martineau的方法，该方法建议将奖励过程视为马尔可夫过程，然后使用该方法生成停止规则，从而得出价格的下限。利用罗杰斯和豪夫&科根提出的对偶方法，这个近似马尔可夫过程引导我们得出套期保值策略和价格上界。该方法是通用的，并在八个不同难度的例子中进行了说明。运行时对维度基本不敏感。
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Computational Finance        计算金融学
分类描述：Computational methods, including Monte Carlo, PDE, lattice and other numerical methods with applications to financial modeling
计算方法，包括蒙特卡罗，偏微分方程，格子和其他数值方法，并应用于金融建模
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