论文标题
通过单次lookahead搜索和最近的邻居Martingale的限制多次运动选择的快速下层和上层估计
Fast Lower and Upper Estimates for the Price of Constrained Multiple Exercise American Options by Single Pass Lookahead Search and Nearest-Neighbor Martingale
论文作者
论文摘要
本文介绍了大量选择的快速下层和上层估计：一类受约束的美国选择。此类中的典型选项是具有音量和正时约束的摇摆选项，以及具有多个回顾权权的护照选项。较低的估计算法使用lookahead搜索的人工智能方法。上层估计算法使用双重方法在最近的邻居基础上选择定价。提供了概率收敛保证。几个数值示例说明了这些方法，包括带有四个约束的摆动选项，以及一个带有16个约束的护照选项。
This article presents fast lower and upper estimates for a large class of options: the class of constrained multiple exercise American options. Typical options in this class are swing options with volume and timing constraints, and passport options with multiple lookback rights. The lower estimate algorithm uses the artificial intelligence method of lookahead search. The upper estimate algorithm uses the dual approach to option pricing on a nearest-neighbor basis for the martingale space. Probabilistic convergence guarantees are provided. Several numerical examples illustrate the approaches including a swing option with four constraints, and a passport option with 16 constraints.
