Showing 21 - 30 of 151
Persistent link: https://www.econbiz.de/10009378896
Persistent link: https://www.econbiz.de/10009181133
It is widely believed that when evolving rates in the LIBOR market model to step over tenor dates the terminal measure must be used. We explain why this is not the case, and show that by very long stepping in the spot measure it is possible to obtain significant accuracy and standard error...
Persistent link: https://www.econbiz.de/10013157441
We study the simulation of range accrual coupons when valuing callable range accruals in the displaced-diffusion LIBOR market model (DDLMM). We introduce a number of new improvements that lead to significant efficiency improvements, and explain how to apply the adjoint-improved pathwise method...
Persistent link: https://www.econbiz.de/10010883212
Persistent link: https://www.econbiz.de/10008157245
Persistent link: https://www.econbiz.de/10010109464
Persistent link: https://www.econbiz.de/10009014343
We introduce a set of improvements which allow the calculation of very tight lower bounds for Bermudan derivatives using Monte Carlo simulation. These tight lower bounds can be computed quickly, and with minimal hand-crafting. Our focus is on accelerating policy iteration to the point where it...
Persistent link: https://www.econbiz.de/10010664654
We introduce two new methods to calculate bounds for zero-sum game options using Monte Carlo simulation. These extend and generalize upper-bound duality results to the case where both parties of a contract have Bermudan optionality. It is shown that the primal-dual simulation method can still be...
Persistent link: https://www.econbiz.de/10009197917
Persistent link: https://www.econbiz.de/10003632920