Fetching the paper…

Reading the bibliography…

2015

Kriging Metamodels and Experimental Design for Bermudan Option Pricing

Ludkovski, Michael

Original
PDF
Post on X

Understand

We investigate two new strategies for the numerical solution of optimal stopping problems within the Regression Monte Carlo (RMC) framework of Longstaff and Schwartz.

First, we propose the use of stochastic kriging (Gaussian process) meta-models for fitting the continuation value.
Kriging offers a flexible, nonparametric regression approach that quantifies approximation quality.
Second, we connect the choice of stochastic grids used in RMC to the Design of Experiments paradigm.

Kriging Metamodels and Experimental Design for Bermudan Option Pricing · Around

Built on

M. McKay, R. Beckman, and W. Conover
1979
Earlier work this paper cites.
D. MacKay
1992
Earlier work this paper cites.
J. F. Carrière
1996
Earlier work this paper cites.
D. A. Cohn
1996
Earlier work this paper cites.
D. Jones, M. Schonlau, and W. Welch
1998
Earlier work this paper cites.
F. Longstaff and E. Schwartz
2001
Earlier work this paper cites.
J. Tsitsiklis and B. Van Roy
2001
Earlier work this paper cites.
W. C. Van Beers and J. P. Kleijnen
2003
Earlier work this paper cites.
L. Andersen and M. Broadie
2004
Earlier work this paper cites.
L. Stentoft
2004
Earlier work this paper cites.
S. K. Chaudhary
2005
Earlier work this paper cites.
C. K. Williams and C. E. Rasmussen
2006
Earlier work this paper cites.
C. Bender, A. Kolodko, and J. Schoenmakers
2008
Earlier work this paper cites.
M. Kohler
2008
Earlier work this paper cites.
T. Hastie, R. Tibshirani, and J. Friedman
2009
Earlier work this paper cites.

Similar

S. Juneja and H. Kalra
2009
Cited alongside, same era.
B. Ankenman, B. L. Nelson, and J. Staum
2010
Cited alongside, same era.
V. Picheny, D. Ginsbourger, O. Roustant, R. T. Haftka, and N.-H. Kim
2010
Cited alongside, same era.
B. R. Rambharat and A. E. Brockwell
2010
Cited alongside, same era.
J. Riihimäki and A. Vehtari
2010
Cited alongside, same era.
Y. Wang and R. Caflisch
2010
Cited alongside, same era.
B. Bouchard and X. Warin
2011
Cited alongside, same era.

Then

P. Hepperger
2013
Later among the works it cites.
V. Picheny and D. Ginsbourger
2013
Later among the works it cites.
T. J. Santner, B. J. Williams, and W. I. Notz
2013
Later among the works it cites.
S. Tompaidis and C. Yang
2013
Later among the works it cites.
C. Yang and S. Tompaidis
2013
Later among the works it cites.
C. Chevalier, D. Ginsbourger, and X. Emery
2014
Later among the works it cites.
P. Létourneau and L. Stentoft
2014
Later among the works it cites.
L. Stentoft

Beyond the bibliography

alphaXiv searches the wider corpus for related work and actual follow-ups.

Open on alphaXiv

alphaXiv is searching for related work…

R. Gramacy and N. Polson

2011

Cited alongside, same era.

P. Del Moral, P. Hu, and N. Oudjane

2012

Cited alongside, same era.

R. Gramacy and M. Taddy

2012

Cited alongside, same era.

K. H. Kan and R. M. Reesor

2012

Cited alongside, same era.

M. Kohler and A. Krzyżak

2012

Cited alongside, same era.

2014

Later among the works it cites.

D. Belomestny, F. Dickmann, and T. Nagapetyan

2015

Closest in time.

R. Gramacy and D. Apley

2015

Closest in time.

R. Gramacy and M. Ludkovski

2015

Closest in time.

S. Jain and C. W. Oosterlee

2015

Closest in time.

J. P. Kleijnen

2015

Closest in time.

A. Agarwal, S. Juneja, and R. Sircar

2016

Closest in time.

E. Gobet and P. Turkedjiev

2016

Closest in time.