Year: 2010
Type: preprint
Abstract: We analyze the Snell envelope with path dependent multiplicative optimality criteria. Especially for this case, we propose a variation of the Snell envelope backward recursion which allows to extend some classical approxima- tion schemes to the multiplicatively path dependent case. In this framework, we propose an importance sampling particle approximation scheme based on a specific change of measure, designed to concentrate the computational effort in regions pointed out by the criteria. This new algorithm is theoritically studied. We provide non asymptotic convergence estimates and prove that the resulting estimator is high biased.
Source: arXiv (Cornell University)
Authors: Del Moral, Pierre, Hu, Peng, Oudjane, Nadia
Language: English
Subfield: Finance
Domain: Social Sciences
Open Access status: green
OpenAlex ID: W1925771996