Purpose The purpose of this paper is to investigate the impact of bias error resulted from using Monte Carlo simulation in evaluating the American-style option value. Design/methodology/approach The authors develop an analytical approximation formula to quantify the bias error under the...

A simple transform of a standard uniform variate is given for simulation of the maximum attained by a Wiener process with drift, conditioned upon the level attained by the process over an arbitrary time interval. The transform arises directly from inversion of the joint distribution function of...

For constructing simultaneous confidence intervals for the ratios of means of several lognormal distributions, we propose a new parametric bootstrap method, which is different from an inaccurate parametric bootstrap method previously considered in the literature. Our proposed method is...