Dual pricing of American options by Wiener chaos expansion

Jérôme Lelong 1
1 DAO - Données, Apprentissage et Optimisation
LJK - Laboratoire Jean Kuntzmann
Abstract : In this work, we propose an algorithm to price American options by directly solving thedual minimization problem introduced by Rogers. Our approach relies on approximating the set of uniformly square integrable martingales by a finite dimensional Wiener chaos expansion. Then, we use a sample average approximation technique to efficiently solve the optimization problem. Unlike all the regression based methods, our method can transparently deal with path dependent options without extra computations and a parallel implementation writes easily with very little communication and no centralized work. We test our approach on several multi--dimensional options with up to 40 assets and show the impressive scalability of the parallel implementation.
Type de document :
Article dans une revue
SIAM Journal on Financial Mathematics, SIAM, 2018, 9 (2), pp.493-519. 〈10.1137/16M1102161〉
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Contributeur : Jérôme Lelong <>
Soumis le : jeudi 21 décembre 2017 - 10:49:34
Dernière modification le : mercredi 16 mai 2018 - 14:31:12

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Jérôme Lelong. Dual pricing of American options by Wiener chaos expansion. SIAM Journal on Financial Mathematics, SIAM, 2018, 9 (2), pp.493-519. 〈10.1137/16M1102161〉. 〈hal-01299819v3〉

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