this paper with our results in an article where we determined the values for Call and Put by Monte Carlo simulation. …

testing the effectiveness of the most popular options pricing models , which are the Monte Carlo simulation method, the … categories with a high level of volatility in In-the money category, other finding concludes that the Monte Carlo Simulation …

simulation algorithm exists for this process, at present this is not the case for the Heston stochastic volatility model, where … preferred discretisation method for simulation of the Heston model and extensions thereof. …

also look into whether today's superior computer environment has changed the relative strength of numerical and simulation … simulation approach be used when sigma^2*T < 0.01 …

original model are completely removed from the drMC simulation. Moreover, under the drMC framework, hedging parameters, or …

This paper presents a tailor-made discrete-time simulation model for valuing path-dependent options, such as lookback … illustrate the option pricing by using Quasi Monte Carlo simulation methods. We give an Asian option pricing which relies heavily …

Exact simulation schemes under the Heston stochastic volatility model (e.g., Broadie-Kaya and Glasserman-Kim) suffer … from computationally expensive Bessel function evaluations. We propose a new exact simulation scheme without the Bessel … simulation schemes in terms of accuracy, efficiency, and reliability when compared with existing methods …

efficient simulation scheme for the price process, allowing to price the arithmetic counterparts using control variate technique … performances of the proposed simulation scheme on some parameter sets calibrated on real data …