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Pricing of American options in discrete time using least squares estimates with complexity penalties
Pricing of American options in discrete time is considered, where the option is allowed to be based on several underlying stocks. It is assumed that the price processes of the underlying stocks are given by Markov processes. We use the Monte Carlo approach to generate artificial sample paths of these price processes, and then we use nonparametric regression estimates to estimate from this data so-called continuation values, which are defined as mean values of the American option for given values of the underlying stocks at time t subject to the constraint that the option is not exercised at time t. As nonparametric regression estimates we use least squares estimates with complexity penalties, which include as special cases least squares spline estimates, least squares neural networks, smoothing splines and orthogonal series estimates. General results concerning rate of convergence are presented and applied to derive results for the special cases mentioned above. Furthermore the pricing of American options is illustrated by simulated data. 相似文献
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Carl Spruill 《Journal of statistical planning and inference》1985,11(2):217-225
In extrapolating a function which is close to being a polynimial the least squares estimator combined with the Hoel-Levine optimal design is shown to perform well in terms of mean square error when compared with an optimal spline extrapolator. 相似文献
13.
Jyh-Jen Horng Shiau 《统计学通讯:理论与方法》2013,42(7):1851-1866
A partial spline model is used to estimate an unknown function which is smooth except for some break points. Assuming the break points are known, a Generalized Cross-Validated smoothing spline estimation method is proposed. Some interval estimation methods for the magnitude of the discontinuities based on the mean square error are introduced and investigated. 相似文献
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Julian J. Faraway Matthew P. Reed Jing Wang 《Journal of the Royal Statistical Society. Series C, Applied statistics》2007,56(5):571-585
Summary. A modelling approach for three-dimensional trajectories with particular application to hand reaching motions is described. Bézier curves are defined by control points which have a convenient geometrical interpretation. A fitting method for the control points to trajectory data is described. These fitted control points are then linked to covariates of interest by using a regression model. This allows the prediction of new trajectories and the ability to model the variability in trajectories. The methodology is illustrated with an application to hand trajectory modelling for ergonomics. Motion capture was used to collect a total of about 2000 hand trajectories performed by 20 subjects to a variety of targets. A simple model with strong predictive performance and interpretablility is developed. The use of hand trajectory models in the digital human models for virtual manufacturing applications is discussed. 相似文献
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D. G. T. Denison B. K. Mallick & A. F. M. Smith 《Journal of the Royal Statistical Society. Series B, Statistical methodology》1998,60(2):333-350
A method of estimating a variety of curves by a sequence of piecewise polynomials is proposed, motivated by a Bayesian model and an appropriate summary of the resulting posterior distribution. A joint distribution is set up over both the number and the position of the knots defining the piecewise polynomials. Throughout we use reversible jump Markov chain Monte Carlo methods to compute the posteriors. The methodology has been successful in giving good estimates for 'smooth' functions (i.e. continuous and differentiable) as well as functions which are not differentiable, and perhaps not even continuous, at a finite number of points. The methodology is extended to deal with generalized additive models. 相似文献