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Efficient variance reduction for American call options using symmetry arguments

Boire, François-Michel; Reesor, R. Mark; Stentoft, Lars - In: Journal of risk and financial management : JRFM 14 (2021) 11, pp. 1-21

Recently it was shown that the estimated American call prices obtained with regression and simulation based methods can be significantly improved on by using put-call symmetry. This paper extends these results and demonstrates that it is also possible to significantly reduce the variance of the...

Persistent link: https://www.econbiz.de/10012794352

Multi-level Monte Carlo simulations with importance sampling

Stilger, Przemyslaw Stan; Poon, Ser-Huang - 2013

We present an application of importance sampling in a Monte Carlo simulation for multi-asset options and in a Multi …-Level Monte Carlo simulation. We demonstrate that applying importance sampling only on the first level of the Multi-Level Monte …. Moreover, we combine it with the importance sampling to reduce the variance of the Greeks. Finally, we study the impact of the …

Persistent link: https://www.econbiz.de/10010206934

Improved variance reduced Monte-Carlo simulation of in-the-money options

Müller, Armin - In: Journal of mathematical finance 6 (2016) 3, pp. 361-367

Persistent link: https://www.econbiz.de/10011583475

Efficient simulation of value-at-risk under a jump diffusion model : a new method for moderate deviation events

Fuh, Cheng-Der; Teng, Huei-Wen; Wang, Ren-Her - In: Computational economics 51 (2018) 4, pp. 973-990

Persistent link: https://www.econbiz.de/10011972209

Monte Carlo payoff smoothing for pricing autocallable instruments

Koster, Frank; Rehmet, Achim - In: The journal of computational finance 21 (2017/2018) 4, pp. 59-77

Persistent link: https://www.econbiz.de/10011848407

Importance sampling for jump-diffusions via cross-entropy

Rieke, Rebecca; Sun, Weifeng; Wang, Hui - In: The journal of computational finance 22 (2018) 1, pp. 107-130

Persistent link: https://www.econbiz.de/10011890185

Kolmogorov backward equations with singular diffusion matrices

Singer, Hermann - 2019

Persistent link: https://www.econbiz.de/10012149431

Implementation of variance reduction techniques applied to the pricing of investment certificates

Bottasso, Anna; Fusaro, Michelangelo; Giribone, Pier … - In: Risk management magazine 18 (2023) 1, pp. 19-42

programming languages (Python, Matlab and R), are: Latin Hypercube, Stratified Sampling, Antithetic Variables, Importance Sampling …

Persistent link: https://www.econbiz.de/10014327175

Monte Carlo methods for economic capital

Li, Yajuan; Kaplan, Zachary T.; Nakayama, Marvin K. - In: INFORMS journal on computing : JOC ; charting new … 36 (2024) 1, pp. 266-284

Persistent link: https://www.econbiz.de/10014474920

A general importance sampling algorithm for estimating portfolio loss probabilities in linear factor models

Scott, Alexandre; Metzler, Adam - In: Insurance / Mathematics & economics 64 (2015), pp. 279-293

Persistent link: https://www.econbiz.de/10011398073