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Erscheinungsjahr: 
2007
Schriftenreihe/Nr.: 
SFB 649 Discussion Paper No. 2007,048
Verlag: 
Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk, Berlin
Zusammenfassung: 
In this article we propose several pathwise and finite difference based methods for calculating sensitivities of Bermudan options using regression methods and Monte Carlo simulation. These methods rely on conditional probabilistic representations which allow, in combination with a regression approach, for efficient simultaneous computation of sensitivities at many initial positions. Assuming that the price of a Bermudan option can be evaluated sufficiently accurate, we develop a method for constructing deltas based on least squares. We finally propose a testing procedure for assessing the performance of the developed methods.
Schlagwörter: 
American and Bermudan options
Optimal stopping times
Monte Carlo simulation
Deltas
Conditional probabilistic representations
Regression methods
Dokumentart: 
Working Paper

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