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This paper proposes a new method for pricing American options that uses importance sampling to reduce estimator bias … and variance in simulation-and-regression based methods. Our suggested method uses regressions under the importance …. Our numerical results show that this method successfully reduces the bias plaguing the standard importance sampling method …
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programming languages (Python, Matlab and R), are: Latin Hypercube, Stratified Sampling, Antithetic Variables, Importance Sampling …
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regression and simulation-based least-squares Monte Carlo method by using put-call symmetry. The results show that, for a large …
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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 …
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