31 search results - page 3 / 7 » Monte Carlo Methods for American Options |
WSC
1998
13 years 8 months ago
1998
This paper compares Monte Carlo methods, lattice rules, and other low-discrepancy point sets on the problem of evaluating asian options. The combination of these methods with vari...
WSC
2008
13 years 9 months ago
2008
Variable annuities are very appealing to the investor. For example, in United States, sales volume on variable annuities grew to a record 184 billion in calendar year 2006. Howeve...
WSC
2000
13 years 8 months ago
2000
We develop a financial model for a manufacturing process where quality can be affected by an assignable cause. We evaluate the options associated with applying a statistical proce...
WSC
2008
13 years 9 months ago
2008
We investigate the use of Antithetic Variables, Control Variates and Importance Sampling to reduce the statistical errors of option sensitivities calculated with the Likelihood Ra...
WCE
2007
13 years 8 months ago
2007
Abstract—In this paper I use Monte Carlo simulated option data to investigate the empirical power of six Risk Neutral Density (RND) estimation techniques. Three alternative appro...