Bermudan option pricing by quantum amplitude estimation and Chebyshev interpolation

Stochastic Kriging for Bermudan Option Pricing

We investigate three 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 co...

Numeraire-invariant Option Pricing & American, Bermudan, and Trigger Stream Rollover

Part I proposes a numeraire-invariant option pricing framework. It defines an option, its price process, and such notions as option indistinguishability and equivalence, domination, payoff process, trigger option, and semipositive option. It develops some of their basic properties, including price transitivity law, indistinguishability results, convergence results, and, in relation to nonnegati...

Lattice Option Pricing By Multidimensional Interpolation

This note proposes a method for pricing high-dimensional American options based on modern methods of multidimensional interpolation. The method allows using sparse grids and thus mitigates the curse of dimensionality. A framework of the pricing algorithm and the corresponding interpolation methods are discussed, and a theorem is demonstrated that suggests that the pricing method is less vulnera...

Importance Resampling with MRAS algorithm for Bermudan option pricing

Interpolation by Weak Chebyshev Spaces

We present two characterizations of Lagrange interpolation sets for weak Chebyshev spaces. The rst of them is valid for an arbitrary weak Chebyshev space U and is based on an analysis of the structure of zero sets of functions in U extending Stockenberg's theorem. The second one holds for all weak Chebyshev spaces that possess a locally linearly independent basis. x1. Introduction Let U denote ...