Table of Links
- Bermudan option pricing and hedging
- Sparse Hermite polynomial expansion and gradient
- Algorithm and complexity
- Convergence analysis
- Numerical examples
- Conclusions and outlook, Acknowledgments, and References
5. Convergence analysis. Now we analyze the convergence of Algorithm 4.1. We assume the Lipschitz continuity of the discounted payoff function gk(·).
Next, we provide an error estimate of solving the continuous least squares problem (4.3) in terms of the error of the previous value function, the best approximation error in the sparse Hermite polynomial ansatz space (5.5) and the time step size ∆t. The proof is inspired by the foundational work [12].
5.2. Global error estimation. Finally, we prove a global error estimate.
Authors:
(1) Jiefei Yang, †Department of Mathematics, University of Hong Kong, Pokfulam, Hong Kong ([email protected]);
(2) Guanglian Li, Department of Mathematics, University of Hong Kong, Pokfulam, Hong Kong ([email protected]).
This paper is
