Snell envelope with small probability criteria
نویسندگان
چکیده
We present a new algorithm to compute the Snell envelope in the specific case where the criteria to optimize is associated with a small probability or a rare event. This new approach combines the Stochastic Mesh approach of Broadie and Glasserman with a particle approximation scheme based on a specific change of measure designed to concentrate the computational effort in regions pointed out by the criteria. The theoretical analysis of this new algorithm provides non asymptotic convergence estimates. Finally, the numerical tests confirm the practical interest of this approach. Key-words : Snell envelope, American option, Bermudan option, Stochastic Mesh, particle methods, rare events. ∗Centre INRIA Bordeaux et Sud-Ouest & Institut de Mathématiques de Bordeaux , Université de Bordeaux I, 351 cours de la Libération 33405 Talence cedex, France, [email protected] †Centre INRIA Bordeaux et Sud-Ouest & Institut de Mathématiques de Bordeaux , Université de Bordeaux I, 351 cours de la Libération 33405 Talence cedex, France, [email protected] ‡EDF R&D Clamart and FiME (Laboratoire de Finance des Marchés de l’Energie (Dauphine, CREST, EDF R& D) www.fime-lab.org) ([email protected])
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