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Efficient pricing of high-dimensional American-style derivatives : a robust regression Monte Carlo method
Jonen, Christian - 2011
Persistent link: https://www.econbiz.de/10010204985
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Simulation of the drawdown and its duration in Lévy models via stick-breaking Gaussian approximation
González Cázares, Jorge; Mijatovi´c, Aleksandar - In: Finance and stochastics 26 (2022) 4, pp. 671-732
Persistent link: https://www.econbiz.de/10013440249
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Bootstrapping the early exercise boundary in the least-squares monte carlo method
Létourneau, Pascal; Stentoft, Lars - In: Journal of risk and financial management : JRFM 12 (2019) 4/190, pp. 1-21
exercise boundary obtained with simulation based methods for American option pricing. The method works by exploiting and … of simulation setup, the characteristics of the option, and the dimensionality of the problem. Finally, because our …
Persistent link: https://www.econbiz.de/10012170988
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A Monte Carlo method using PDE expansions for a diversifed equity index model
Heath, David C.; Platen, Eckhard - 2014
Persistent link: https://www.econbiz.de/10011344801
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Variance reduction for risk measures with importance sampling in nested simulation
Xing, Yue; Sit, Tony; Wong, Hoi Ying - In: Quantitative finance 22 (2022) 4, pp. 657-673
Persistent link: https://www.econbiz.de/10013367849
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A critical analysis of the Weighted Least Squares Monte Carlo method for pricing American options
Reesor, R. Mark; Stentoft, Lars; Zhu, Xiaotian - In: Finance research letters 64 (2024), pp. 1-16
Persistent link: https://www.econbiz.de/10014531706
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Weighted Monte Carlo with least squares and randomized extended Kaczmarz for option pricing
Filipović, Damir; Glau, Kathrin; Nakatsukasa, Yuji; … - 2019
of scalar functions of (multivariate) random variables. This new approach combines the ability of Monte Carlo simulation …
Persistent link: https://www.econbiz.de/10012134288
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Latin hypercube sampling with dependence and applications in finance
Packham, Natalie; Schmidt, Wolfgang M. - 2008
In Monte Carlo simulation, Latin hypercube sampling (LHS) [McKay et al. (1979)] is a well-known variance reduction … examples of financial payoffs, when compared to standard Monte Carlo simulation, a variance reduction of factors up to 200 is …
Persistent link: https://www.econbiz.de/10011293923
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Pricing the exotic: path-dependent american options with stochastic barriers
Rojas-Bernal, Alejandro; Villamizar-Villegas, Mauricio; … - 2021
Persistent link: https://www.econbiz.de/10012804267
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Pricing the exotic : path-dependent American options with stochastic barriers
Rojas-Bernal, Alejandro; Villamizar, Mauricio - In: Latin American journal of central banking : LAJCB 2 (2021) 1, pp. 1-24
We develop a novel pricing strategy that approximates the value of an American option with exotic features through a portfolio of European options with different maturities. Among our findings, we show that: (i) our model is numerically robust in pricing plain vanilla American options; (ii) the...
Persistent link: https://www.econbiz.de/10012545887