31 search results - page 2 / 7 » Monte Carlo Methods for American Options |
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...
FPL
2010
Springer
13 years 3 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...
ENGL
2008
13 years 5 months ago
2008
High performance computing is becoming increasingly important in the field of financial computing, as the complexity of financial models continues to increase. Many of these financ...
ICCS
2001
Springer
13 years 9 months ago
2001
Springer
We give the background and required tools for applying quasi-Monte Carlo methods efficiently to problems in computational finance, and survey recent developments in this field. W...
WSC
2004
13 years 6 months ago
2004
Mortgage-Backed-Securities (MBS), as the largest investment class of fixed income securities, have always been hard to price. Because of the following reasons, normal numerical me...