2 problems

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Exercise-grid conjecture for almost-exact Bermudan option pricing
Consider a time grid … For Bermudan option pricing, let the exercise dates be equidistant and coincide with time points in this grid. The option price is approximated using the Alm…
Conjectureopenheston-models numerical-methods option-pricingarXiv posted 2 days ago
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Almost-exact simulation conjecture for American and Bermudan option pricing
The Heston model is simulated using the Almost Exact Simulation (AES) scheme, which samples the variance process from its non-negative marginal distribution. European option-pricin…
Conjectureopenheston-models monte-carlo-methods option-pricingarXiv posted 2 days ago

Exercise-grid conjecture for almost-exact Bermudan option pricing