caa a22 4500 445363258 CHVBK 20180317142921.0 cr unu---uuuuu 170323e20111201xx s 000 0 eng 10.1007/s00780-010-0132-x doi (NATIONALLICENCE)springer-10.1007/s00780-010-0132-x Belomestny Denis Weierstrass Institute for Applied Analysis and Stochastics, Mohrenstr. 39, 10117, Berlin, Germany aut Pricing Bermudan options by nonparametric regression: optimal rates of convergence for lower estimates [Elektronische Daten] [Denis Belomestny] The problem of pricing Bermudan options using simulations and nonparametric regression is considered. We derive optimal nonasymptotic bounds for the low biased estimate based on a suboptimal stopping rule constructed from some estimates of the optimal continuation values. These estimates may be of different nature, local or global, with the only requirement being that the deviations of these estimates from the true continuation values can be uniformly bounded in probability. As an illustration, we discuss a class of local polynomial estimates which, under some regularity conditions, yield continuation values estimates possessing the required property. Springer-Verlag, 2010 Bermudan options nationallicence Nonparametric regression nationallicence Boundary condition nationallicence Suboptimal stopping rules nationallicence Finance and Stochastics Springer-Verlag 15/4(2011-12-01), 655-683 0949-2984 15:4<655 2011 15 780 https://doi.org/10.1007/s00780-010-0132-x text/html Onlinezugriff via DOI 1 research-article jats NATIONALLICENCE 856 40 https://doi.org/10.1007/s00780-010-0132-x text/html Onlinezugriff via DOI NATIONALLICENCE 100 1- Belomestny Denis Weierstrass Institute for Applied Analysis and Stochastics, Mohrenstr. 39, 10117, Berlin, Germany aut NATIONALLICENCE 773 0- Finance and Stochastics Springer-Verlag 15/4(2011-12-01), 655-683 0949-2984 15:4<655 2011 15 780 Metadata rights reserved Springer special CC-BY-NC licence nationallicence BK010053 XK010053 XK010000 NATIONALLICENCE NATIONALLICENCE NL-springer