Showing 1 - 10 of 24,201
-form formula for basket options, Monte Carlo simulations are carried out to generate the benchmark values. A simulation experiment …
Persistent link: https://www.econbiz.de/10010934067
A new, very efficient and fairly simple simulation method for European basket and Asian options under the geometric …
Persistent link: https://www.econbiz.de/10011046607
maximum defined benefit and defined contribution pension plans. A least-squares Monte Carlo simulation values complex …
Persistent link: https://www.econbiz.de/10010729822
This paper shows how one can compute option prices from a Bayesian inference viewpoint, using an econometric model for the dynamics of the return and of the volatility of the underlying asset. The proposed evaluation of an option is the predictive expectation of its payoff function. The...
Persistent link: https://www.econbiz.de/10005008451
This paper shows how one can compute option prices from a Bayesian inference viewpoint, using an econometric model for the dynamics of the return and of the volatility of the underlying asset. The proposed evaluation of an option is the predictive expectation of its payoff function. The...
Persistent link: https://www.econbiz.de/10005669457
We develop a simulation algorithm for estimating the prices of American-style securities, i.e. securities with …
Persistent link: https://www.econbiz.de/10005630991
We consider the discretized version of a (continuous-time) two-factor model introduced by Benth and coauthors for the electricity markets. For this model, the underlying is the exponent of a sum of independent random variables. We provide and test an algori thm, which is based on the celebrated...
Persistent link: https://www.econbiz.de/10011082464
We derive a closed-form expression for the bilateral credit valuation adjustment of a credit default swap in presence of simultaneous defaults. We develop our analysis under a default intensity model specified by a class of three-dimensional subordinators, allowing for default dependence through...
Persistent link: https://www.econbiz.de/10011209864
The computation of the bilateral counterparty valuation adjustment for a credit default swap (CDS) contract is in effect the modeling of the default dependence among the investor, the protection seller, and the reference entity. We present a contagion model, where defaults of three parties are...
Persistent link: https://www.econbiz.de/10010781999
We analyze the effects of the financial crisis in credit valuation adjustments (CVA's). Following the arbitrage-free valuation framework presented in Brigo et al. (2009), we consider a model with stochastic Gaussian interest rates and CIR++ default intensities. Departing from previous...
Persistent link: https://www.econbiz.de/10010862560