189 search results - page 1 / 38 » Constrained Monte Carlo and the method of control variates |
WSC
2001
13 years 6 months ago
2001
A constrained Monte Carlo problem arises when one computes an expectation in the presence of a priori computable constraints on the expectations of quantities that are correlated ...
FPL
2010
Springer
13 years 2 months ago
2010
Springer
Exotic options are financial derivatives which have complex features including path-dependency. These complex features make them difficult to price, as only computationally intensi...
WSC
2007
13 years 7 months ago
2007
Portfolio credit derivatives that depend on default correlation are increasingly widespread in the credit market. Valuing such products often entails Monte Carlo simulation. Howev...
MOR
2007
13 years 4 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...
WSC
2008
13 years 7 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...