Advances in Mathematical Economics Volume 19 pp 57-89

Part of the Advances in Mathematical Economics book series (MATHECON, volume 19) | Cite as

Least Square Regression Methods for Bermudan Derivatives and Systems of Functions

Abstract

Least square regression methods are Monte Carlo methods to solve non-linear problems related to Markov processes and are widely used in practice. In these methods, first we choose a system of functions to approximate value functions. So one of questions on these methods is what kinds of systems of functions one has to take to get a good approximation. In the present paper, we will discuss on this problem.

Keywords

Computational finance Option pricing Malliavin calculus Least square regression methods 

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Copyright information

© Springer Japan 2015

Authors and Affiliations

  1. 1.Graduate School of Mathematical SciencesThe University of TokyoTokyoJapan
  2. 2.Bank of Tokyo Mitsubishi UFJTokyoJapan

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