Nicolas Essis-Breton
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Feb
3
awarded  Yearling
Feb
3
accepted Example of options that cannot be priced with least-square Monte Carlo
Feb
2
comment Example of options that cannot be priced with least-square Monte Carlo
@olaf The exercise decision has to be optimal exercise decision. So including it means that you already know the best action and defeat the purpose of the LSMC.
Feb
2
comment Example of options that cannot be priced with least-square Monte Carlo
@olaf Say the option holder can choose between ten different strike prices at time 1, for a call exercisable at time 2. The exercise decision is not in the simulated path, so backward swimming is swimming in the wrong sea.
Feb
2
comment Example of options that cannot be priced with least-square Monte Carlo
@olaf LSMC uses the exercise date payoff to estimate the expectation function. If the computation of a payoff needs past infos and that past infos is dynamic, boom, you need nested simulations.
Feb
2
awarded  Curious
Feb
1
asked Example of options that cannot be priced with least-square Monte Carlo
Jan
14
asked Approximating the PDE price of an option with a binomial model
Sep
10
asked Do you use software for finite element valuation or do you roll your own?
Dec
7
awarded  Autobiographer
Oct
21
awarded  Nice Question
Aug
6
awarded  Scholar
Aug
6
accepted Reference request: Survey article on GPU in Finance
Jul
23
comment Reference request: Survey article on GPU in Finance
@RYogi I had the references I found. Per Oleg comment, I guess in day-to-day QF GPU are probably rare. But there is nonetheless an active research on them in finance.
Jul
23
awarded  Editor
Jul
23
revised Reference request: Survey article on GPU in Finance
added founded ref per request in the comment
Jul
23
awarded  Supporter
Jul
23
asked Reference request: Survey article on GPU in Finance
Jul
16
awarded  Student
Jul
16
asked Arbitrage free price of a derivative when the price is collected over the lifetime of the derivative