The Stochastic Grid Bundling Method: Efficient Pricing of Bermudan Options and their Greeks
The Stochastic Grid Bundling Method: Efficient Pricing of Bermudan Options and their Greeks
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DOI：
10.2139/ssrn.2293942
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发表时间：
2013-09
期刊：
影响因子：
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通讯作者：
Shashi Jain;C. Oosterlee
中科院分区：
文献类型：
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作者：
Shashi Jain;C. Oosterlee
本文描述了一种基于模拟的实用算法，称为随机网格捆绑法(SGBM)，用于定价多维百慕大(即离散可执行)期权。该方法生成期权价格的直接估计器、最优提前行使策略以及期权价格的下限值。SGBM的一个优点是，该方法可以用于快速逼近希腊人(即相对于基础现货价格的衍生品，如增量、伽马等)。百慕大风格的选择。对各种多维百慕大方案的计算结果表明了该算法的简单性和有效性。
This paper describes a practical simulation-based algorithm, which we call the Stochastic Grid Bundling Method (SGBM) for pricing multi-dimensional Bermudan (i.e. discretely exercisable) options. The method generates a direct estimator of the option price, an optimal early-exercise policy as well as a lower bound value for the option price. An advantage of SGBM is that the method can be used for fast approximation of the Greeks (i.e., derivatives with respect to the underlying spot prices, such as delta, gamma, etc.) for Bermudan-style options. Computational results for various multi-dimensional Bermudan options demonstrate the simplicity and efficiency of the algorithm proposed.