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A pure dual approach for hedging Bermudan options
Aur\'elien Alfonsi, Ahmed Kebaier, J\'er\^ome Lelong
https://arxiv.org/abs/2404.18761 https://

A pure dual approach for hedging Bermudan options
This paper develops a new dual approach to compute the hedging portfolio of a Bermudan option and its initial value. It gives a "purely dual" algorithm following the spirit of Rogers (2010) in the sense that it only relies on the dual pricing formula. The key is to rewrite the dual formula as an excess reward representation and to combine it with a strict convexification technique. The hedging strategy is then obtained by using a Monte Carlo method, solving backward a sequence of least square p…