This paper introduces and illustrates a new version of the Monte Carlo method that has attractive properties for the numerical valuation of derivatives. The traditional Monte Carlo method has proven to be a powerful and flexible tool for many types of derivatives calculations. Under the...

Theoretical models are derived for pricing derivative market instruments with payoff structures identical to those implied by the deficiency, Findley, and loan programs. Numerical approximation methods are used to obtain market premiums for the exotic contingent claims embedded in these types of...

In this paper, we propose an estimator for pricing high-dimensional American-style options and show that asymptotically its upper bias converges to zero. An advantage of the proposed estimator is that when combined with low discrepancy sequences, it exhibits a superior rate of convergence....

<title>Abstract</title> This paper proposes a new simulation method for pricing Bermudan derivatives that is applicable to problems where the transition density of the underlying asset price process is known analytically. We assume that the owner can exercise the option at a finite, although possibly large,...

This paper estimates mortality and fertility rates prevailing in Ireland during the 25-year period before the Great Irish Famine of 1845-1849. A technique is developed to estimate the age-specific mortality level during the Famine and the number of Famine-related deaths. The paper concludes that...

This paper examines the pricing of lookback and barrier options when the underlying asset follows the constant elasticity of variance (CEV) process. We construct a trinomial method to approximate the CEV process and use it to price lookback and barrier options. For look-back options, we find...

An approximate method is developed for computing the values of European options on the maximum or the minimum of several assets. The method is very fast and is accurate for parameter ranges that are often of the most interest. The approach casts the problem in terms of order statistics and can...

A procedure is developed for the valuation of options when there are two underlying state variables. The approach involves an extension of the lattice binomial approach developed by Cox, Ross, and Rubinstein to value options on a single asset. Details are given on how the jump probabilities and...