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
- Joerg Kienitz
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