the hedging components and (iii) an analysis of simulation-based numerical methods. The core of our approach relies on … closed form solutions for Melliavin derivatives of diffusion processes which simplify their numerical simulation and … facilitate the computation and simulation of the hedging components of optimal portfolios. One of our procedures relies on a …

This paper proposes a simple modification to the standard Monte Carlo simulation procedure for computing the prices of … price. This procedure is referred to as the empirical martingale simulation (EMS). The EMS ensures that the price estimated … by simulation satisfies rational option pricing bounds. The EMS also yields a substantial error reduction for the price …

on the average difference between the price option and its present average value at maturity (the bias), and tries to … detect some temporal regularities in the pattern of this bias. We found some very surprising almost-periodic patterns for the … bias, in particular for the long-time maturities (not so clearly for the puts), as studied by spectral analysis. Le prix d …