Exotic options are financial derivatives which have complex features including path-dependency. These complex features make them difficult to price, as only computationally intensi...
Anson H. T. Tse, David B. Thomas, Kuen Hung Tsoi, ...
Equity Indexed Annuities (EIAs) are popular insurance contracts. EIAs provide the insured with a guaranteed accumulation rate on their premium at maturity. In addition, the insure...
I will review the role that Monte Carlo methods play in the physical sciences. They are very widely used for a number of reasons: they permit the rapid and faithful transformation...
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...
Anson H. T. Tse, David B. Thomas, Kuen Hung Tsoi, ...
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...