Friday, 15:15 - 15:40 h, Room: H 3021


John Schoenmakers
Multilevel primal and dual approaches for pricing American options

Coauthors: Denis Belomestny, Marcel Ladkau


In this talk we propose two novel simulation based approaches for
for pricing American options. (I) The first one is in fact a multi level version of the nested Monte
Carlo dual algorithm of Andersen and Broadie (2004),
whereas the second one (II) is a multi level version of simulation based
policy iteration (cf. Kolodko Sch. 2006), hence a primal approach.
The multilevel concept is applied to the number of sub-simulations needed for constructing
a dual martingale in (I) and for iterating to a new policy in (II). In both cases the overall complexity turns out to be
significantly reduced.
%(I) is joint work with Denis Belomestny, (II) is joint work with Denis Belomestny and Marcel Ladkau.


Talk 1 of the invited session Fri.3.H 3021
"Optimization in financial markets" [...]
Cluster 7
"Finance & economics" [...]


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