19 search results - page 2 / 4 » Parallel Monte Carlo Methods for Derivative Security Pricing |
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
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...
WSC
2007
13 years 7 months ago
2007
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...
SIGARCH
2010
12 years 11 months ago
2010
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...
WSC
2004
13 years 6 months ago
2004
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...