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Efficient pricing of high-dimensional American-style derivatives : a robust regression Monte Carlo method
Jonen, Christian - 2011
Persistent link: https://www.econbiz.de/10010204985
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A Monte Carlo method using PDE expansions for a diversifed equity index model
Heath, David C.; Platen, Eckhard - 2014
Persistent link: https://www.econbiz.de/10011344801
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Weighted Monte Carlo with least squares and randomized extended Kaczmarz for option pricing
Filipović, Damir; Glau, Kathrin; Nakatsukasa, Yuji; … - 2019
of scalar functions of (multivariate) random variables. This new approach combines the ability of Monte Carlo simulation …
Persistent link: https://www.econbiz.de/10012134288
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Latin hypercube sampling with dependence and applications in finance
Packham, Natalie; Schmidt, Wolfgang M. - 2008
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 …
Persistent link: https://www.econbiz.de/10011293923
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Pricing the exotic: path-dependent american options with stochastic barriers
Rojas-Bernal, Alejandro; Villamizar-Villegas, Mauricio; … - 2021
Persistent link: https://www.econbiz.de/10012804267
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Monte Carlo simulation of boundary crossing probabilities with applications to finance and statistics
Gür, Sercan - 2019
Persistent link: https://www.econbiz.de/10012197036
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Optimal expansion of a hydrogen storage system for wind power: a real options analysis
Franzen, Stefan; Madlener, Reinhard - 2017 - Revised
Persistent link: https://www.econbiz.de/10011704670
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Improving the least-squares Monte-Carlo approach
Søndergaard Rasmussen, Nicki - 2002
Persistent link: https://www.econbiz.de/10001721476
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Valuing modularity as a real option
Gamba, Andrea; Fusari, Nicola - 2009
We provide a general valuation approach for capital budgeting decisions involving the modularization of a system. Within the framework developed by Baldwin and Clark (2000), we implement an approach using a numerical procedure based on the Least Squares Monte Carlo method proposed by Longstaff...
Persistent link: https://www.econbiz.de/10003962024
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Simulation based option pricing
Lüssem, Jens; Schumacher, Jürgen - 2002
Persistent link: https://www.econbiz.de/10009624847