This paper examines the impact of habit formation on the demand for life-contingent contracts in a life-cycle model. We derive an analytical solution for the optimal consumption, portfolio choice, and life insurance/annuity purchases. We illustrate the mechanism by which the consumption habit...

<title>Abstract</title> This paper proposes a new simulation method for pricing Bermudan derivatives that is applicable to problems where the transition density of the underlying asset price process is known analytically. We assume that the owner can exercise the option at a finite, although possibly large,...

This paper introduces and illustrates a new version of the Monte Carlo method that has attractive properties for the numerical valuation of derivatives. The traditional Monte Carlo method has proven to be a powerful and flexible tool for many types of derivatives calculations. Under the...

In this paper, we propose an estimator for pricing high-dimensional American-style options and show that asymptotically its upper bias converges to zero. An advantage of the proposed estimator is that when combined with low discrepancy sequences, it exhibits a superior rate of convergence....