Adapts hybrid LSMC-PDE framework to the GDMR model for Bermudan option pricing and reports lower errors than plain LSMC in numerical experiments with low to moderate simulation paths.
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A Hybrid LSMC-PDE Method for Bermudan Option Pricing under the Gatheral Double Mean-Reverting Model
Adapts hybrid LSMC-PDE framework to the GDMR model for Bermudan option pricing and reports lower errors than plain LSMC in numerical experiments with low to moderate simulation paths.