4 search results - page 1 / 1 » Function-Approximation-Based Importance Sampling for Pricing... |
WSC
2004
13 years 6 months ago
2004
Monte Carlo simulation techniques that use function approximations have been successfully applied to approximately price multi-dimensional American options. However, for many pric...
WSC
2008
13 years 7 months ago
2008
We revisit the stochastic mesh method for pricing American options, from a conditioning viewpoint, rather than the importance sampling viewpoint of Broadie and Glasserman (1997). ...
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...
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...