In Kuznetsov et al. (2011) a new Monte Carlo simulation technique was introduced for a large family of Lévy processes … Monte Carlo simulation technique in Kuznetsov et al. (2011) and of its multilevel variant for computing expectations of …

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 …

is often very complicated for students to understand. This paper demonstrates the merits of using a simulation technique … applications of Monte Carlo simulation to stock option valuation. It, thus, serves as an interdisciplinary teaching note that can … as well as Monte Carlo simulation. The paper reviews the applications of the Monte Carlo approach in option pricing …

Monte Carlo simulation is widely used to measure the credit risk in portfolios of loans, corporate bonds, and other … instruments subject to possible default. The accurate measurement of credit risk is often a rare-event simulation problem because …

construction of an upper bound (a lower bound) on the true price using some lower bound (an upper bound) by Monte Carlo simulation …