31 search results - page 4 / 7 » Monte Carlo Methods for American Options |
WSC
1998
13 years 8 months ago
1998
When pricing options via Monte Carlo simulations, precision can be improved either by performing longer simulations, or by reducing the variance of the estimators. In this paper, ...
MOR
2007
13 years 7 months ago
2007
Adaptive Monte Carlo methods are simulation efficiency improvement techniques designed to adaptively tune simulation estimators. Most of the work on adaptive Monte Carlo methods h...
BMCBI
2010
13 years 5 months ago
2010
Background: Genomewide association studies have resulted in a great many genomic regions that are likely to harbor disease genes. Thorough interrogation of these specific regions ...
SIGARCH
2010
13 years 2 months ago
2010
Arithmetic Asian options are financial derivatives which have the feature of path-dependency: they depend on the entire price path of the underlying asset, rather than just the in...
WSC
2004
13 years 9 months ago
2004
This paper derives Monte Carlo simulation estimators to compute option price derivatives, i.e., the `Greeks,' under Heston's stochastic volatility model and some variant...