基于Réduite或体积的近似期权定价：永久价格作为不动点的合理性和特征
Approximate Bermudan option pricing based on the réduite or cubature: soundness and characterisation of perpetual prices as fixed points
摘要：
在本文中，它表明，基于réduite（在一维设置：分段调和插值）或cubature -是明智的，从经济学的角度来看：任何序列，因此计算的价格为réduite期权的行使时间的增加是增加。此外，在支付函数的某些规律性假设下，假设运动时间与运动网格步长$h$等距，它有一个与近似定价算法的最小不动点一致的上确界--该算法被看作是一个映射，分配给任何实值函数$f$（在一篮子标的物上）到期欧式期权的近似值$h$和支付函数$f$。
英文摘要：
In this paper, it is shown that Bermudan option pricing based on either the réduite (in a one-dimensional setting: piecewise harmonic interpolation) or cubature -- is sensible from an economic vantage point: Any sequence of thus-computed prices for Bermudan options with increasing sets of exercise times is increasing. Furthermore, under certain regularity assumptions on the payoff function and provided the exercise times are equidistant of exercise mesh size $h$, it has a supremum which coincides with the least fixed point of the approximate pricing algorithm -- this algorithm being perceived as a map that assigns to any real-valued function $f$ (on the basket of underlyings) the approximate value of the European option of maturity $h$ and payoff function $f$.
机构、总结、中文摘要均由AI分析而来，可能存在错误，请以论文正文为准。
