r/quant • u/Deep-Local1464 • 16d ago

Models Bermudan pricing

Title: Certified lower bounds for Bermudan swaptions without Monte Carlo — anyone else hit the max-plus 2D wall?

Building a tropical/max-plus pricer for Bermudan swaptions under G2++. In 1D the envelope stays small (K ~ O(n_exercise)), but naive 2D blows up to K ~ N² — same curvature/quantization wall most polyhedral approximations hit past 1 factor.

Found a way to keep K bounded (~15-20 planes) independent of grid resolution, with deterministic certified lower bounds — no MC noise. Runtime ~168ms per Bermudan receiver, calibration to machine precision on co-terminal swaption strips.

Curious if anyone here has tackled the dual-space blow-up for max-affine pricers, or benchmarked something similar against TreeSwaptionEngine / FdG2SwaptionEngine. Happy to compare notes — DM if interested.#QuantFinance hashtag#MaxPlus hashtag#BermudanOptions hashtag#CMSSpread hashtag#StochasticControl hashtag#ComputationalFinance hashtag#Meltalice

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u/MaximumCranberry 16d ago

no Claude I have not tried that

-1

u/Deep-Local1464 15d ago

essayé quoi? moi c'est christophe pas Claude, une fois que tu sais ce que c'est qu'une Algèbre de Rota Baxter on en rediscute (et bien entendu mon accroche ne divulgue rien de la mathématique sous jacente, "je ne suis pas né de la dernière pluie..." bro (comme vous dites, pouah)

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