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Combining Latin Hypercube Sampling with Other Variance Reduction Techniques
Packham, Natalie - 2012
combining the variance reduction techniques Latin hypercube sampling with dependence (LHSD), control variates and importance … sampling. Under some standard conditions, the resulting estimators are consistent and asymptotically unbiased, and a central …
Persistent link: https://www.econbiz.de/10013097629
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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 … technique for vectors of independent random variables. The method presented here, Latin hypercube sampling with dependence (LHSD …
Persistent link: https://www.econbiz.de/10011293923
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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
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Closed Form Pricing Formulas for Discretely Sampled Generalized Variance Swaps
Zheng, Wendong - 2012
Most of the existing pricing models of variance derivative products assume continuous sampling of the realized variance … processes, though actual contractual specifications compute the realized variance based on sampling at discrete times. We … formulas of the discretely sampled generalized variance swaps under vanishing sampling interval to the analytic pricing …
Persistent link: https://www.econbiz.de/10013115236
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Convergence of the Embedded Mean-Variance Optimal Points with Discrete Sampling
Dang, Duy-Minh - 2017
numerical algorithm will generate only a discrete sampling of the solution set of the embedded problem. In this paper, we …
Persistent link: https://www.econbiz.de/10012973834
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Representations for optimal stopping under dynamic monetary utility functionals
Krätschmer, Volker; Schoenmakers, John - 2009
In this paper we consider the optimal stopping problem for general dynamic monetary utility functionals. Sufficient conditions for the Bellman principle and the existence of optimal stopping times are provided. Particular attention is payed to representations which allow for a numerical...
Persistent link: https://www.econbiz.de/10003905569
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FX smile in the Heston model
Janek, Agnieszka; Kluge, Tino; Weron, Rafał; Wystup, Uwe - 2010
The Heston model stands out from the class of stochastic volatility (SV) models mainly for two reasons. Firstly, the process for the volatility is nonnegative and mean-reverting, which is what we observe in the markets. Secondly, there exists a fast and easily implemented semi-analytical...
Persistent link: https://www.econbiz.de/10008663372
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Conditional density models for asset pricing
Filipović, Damir; Hughston, Lane P.; Macrina, Andrea - 2010
We model the dynamics of asset prices and associated derivatives by consideration of the dynamics of the conditional probability density process for the value of an asset at some specified time in the future. In the case where the asset is driven by Brownian motion, an associated "master...
Persistent link: https://www.econbiz.de/10008797695
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The endogenous price dynamics of the emission allowances : an application to CO 2 option pricing
Chesney, Marc; Taschinia, Luca - 2008
Market mechanisms are increasingly being used as a tool for allocating somewhat scarce but unpriced rights and resources, and the European Emission Trading Scheme is an example. By means of dynamic optimization in the contest of firms covered by such environmental regulations, this paper...
Persistent link: https://www.econbiz.de/10003961380
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Pricing of gas swing options using Monte Carlo methods
Klimešová, Andrea; Václavík, Tomáš - 2011
Motivated by the changing nature of the natural gas industry in the European Union driven by the liberalization process, we focus on pricing of gas swing options. These options are embedded in typical gas sales agreements in the form of offtake flexibility concerning volume and time. The gas...
Persistent link: https://www.econbiz.de/10009152601