Hedging American/Bermudan in the age of Statistical Learning - Incomplete Markets

In this column, we show how to apply the GMMR Hedge method to the pricing of American/Bermudan options and compare it to the well known LSM approach. Furthermore, we use the properties available within this methodology to apply it to the calibration of Stochastic Local Volatility models.

Authors

Publication Details

Journal
Wilmott
Published
2025-06-11
DOI
https://doi.org/10.54946/wilm.12157
Primary Topic
Global Financial Crisis and Policies
Type
article
Field-Weighted Citation Impact
0.00
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article

Hedging American/Bermudan in the age of Statistical Learning - Incomplete Markets

Joerg Kienitz
Wilmott
Global Financial Crisis and Policies
article

Hedging American/Bermudan in the age of Statistical Learning - Incomplete Markets

Joerg Kienitz
article en

Abstract

In this column, we show how to apply the GMMR Hedge method to the pricing of American/Bermudan options and compare it to the well known LSM approach. Furthermore, we use the properties available within this methodology to apply it to the calibration of Stochastic Local Volatility models.

WilmottVol. 2025(138)
Openalex Percentile: Top 83%
Global Financial Crisis and Policies
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Hedging American/Bermudan in the age of Statistical Learning - Incomplete Markets — Joerg Kienitz · Wilmott (2025) | TGRS Research Map | TGRS