12 search results - page 2 / 3 » Efficient simulation for discrete path-dependent option pric... |
IOR
2006
13 years 5 months ago
2006
The stochastic differential equations for affine jump diffusion models do not yield exact solutions that can be directly simulated. Discretization methods can be used for simulati...
WSC
2008
13 years 7 months ago
2008
In this paper, we consider equity-linked life insurance contracts that give their holder the possibility to surrender their policy before maturity. Such contracts can be valued us...
SIAMSC
2008
13 years 5 months ago
2008
Numerical methods are developed for pricing European and American options under Kou's jump-diffusion model which assumes the price of the underlying asset to behave like a ge...
WSC
2007
13 years 7 months ago
2007
A credit derivative is a path dependent contingent claim on the aggregate loss in a portfolio of credit sensitive securities. We estimate the value of a credit derivative by Monte...
ASAP
2007
IEEE
13 years 9 months ago
2007
IEEE
Monte-Carlo simulations are used in many applications, such as option pricing and portfolio evaluation. Due to their high computational load and intrinsic parallelism, they are id...