In Longstaff and Schwartz (2001) a method for American option pricing using simulation and regression is suggested, and … since then the method has rapidly gained importance. However, the idea of using regression and simulation for American …

regression and simulation-based least-squares Monte Carlo method by using put-call symmetry. The results show that, for a large …

testing the effectiveness of the most popular options pricing models , which are the Monte Carlo simulation method, the … categories with a high level of volatility in In-the money category, other finding concludes that the Monte Carlo Simulation …

simulation methods combined with initial dispersed state variables. The asymptotic properties of the estimators are studied and …

This paper presents a practical volatility estimation method for cash flow simulation based real option valuation with … changing volatility. During cash flow simulation, present value of the future cash flows and their corresponding cash flow … over time. The method is computationally efficient because it requires only one pass of simulation runs regardless of the …

regression and simulation based Least-Squares Monte-Carlo method of Longstaff & Schwartz (2001) by using put-call symmetry …

efficient simulation scheme based on conditional moments. These methodologies are applied for Asian option pricing, an important …

simulation just like pathwise methods but is simpler in nature. Our approach is a regression method to calculate the …, almost no one uses them to calculate sensitivities in high dimensional simulation models like LIBOR Market Model. We show …