31 search results - page 5 / 7 » Monte Carlo Methods for American Options |
ANOR
2007
13 years 7 months ago
2007
In this paper, we discuss new analytical methods for computing Value-at-Risk (VaR)andacreditexposureprofile.UsingaMonteCarlosimulationapproachasabenchmark, we find that the analy...
SAC
2002
ACM
13 years 7 months ago
2002
ACM
The theoretical price of a financial option is given by the expectation of its discounted expiry time payoff. The computation of this expectation depends on the density of the val...
FS
2006
13 years 7 months ago
2006
Abstract. We present an iterative procedure for computing the optimal Bermudan stopping time, hence the Bermudan Snell envelope. The method produces an increasing sequence of appro...
CSDA
2006
13 years 7 months ago
2006
Flexible discriminant analysis (FDA) is a general methodology which aims at providing tools for multigroup non linear classification. It consists in a nonparametric version of dis...
ICML
2006
IEEE
14 years 8 months ago
2006
IEEE
Elimination by aspects (EBA) is a probabilistic choice model describing how humans decide between several options. The options from which the choice is made are characterized by b...