Search Results - subject:"(quasi-)Monte Carlo methods"

Pricing Autocallables under Local-Stochastic Volatility

Farkas, Walter; Ferrari, Francesco; Ulrych, Urban - 2022

exotic derivatives such as autocallables. We use quasi-Monte Carlo methods to study the pricing given the Heston LSV model …

Persistent link: https://www.econbiz.de/10013491888

An integrated Quasi-Monte Carlo method for handling high dimensional problems with discontinuities in financial engineering

He, Zhijian; Wang, Xiaoqun - In: Computational economics 57 (2021) 2, pp. 693-718

Persistent link: https://www.econbiz.de/10012486953

Primal-dual quasi-Monte Carlo simulation with dimension reduction for pricing American options

Xiang, Jiangming; Wang, Xiaoqun - In: Quantitative finance 20 (2020) 10, pp. 1701-1720

Persistent link: https://www.econbiz.de/10012313503

Exotic options pricing under special Lévy process models : a biased control variate method approach

Jia, Jiayi; Lai, Yongzeng; Li, Lin; Tan, Vinna - In: Finance research letters 34 (2020), pp. 1-4

Persistent link: https://www.econbiz.de/10012436769

Approximation methods for piecewise deterministic Markov processes and their costs

Kritzer, Peter; Leobacher, Gunther; Szölgyenyi, Michaela; … - In: Scandinavian actuarial journal 2019 (2019) 4, pp. 308-335

Persistent link: https://www.econbiz.de/10012194953

Efficient control variate methods with applications to exotic options pricing under subordinated Brownian motion models

Zhang, Ling; Lai, Yongzeng; Zhang, Shuhua; Li, Lin - In: The North American journal of economics and finance : a … 47 (2019), pp. 602-621

Persistent link: https://www.econbiz.de/10012120139

Quasi-Monte Carol Methods for the Heston Model

Baldeaux, Jan; Roberts, Dale - Finance Discipline Group, Business School - 2012

In this paper, we discuss the application of quasi-Monte Carlo methods to the Heston model. We base our algorithms on … improve the effectiveness of quasi-Monte Carlo methods, cannot be employed in the context of path-dependent options when the … underlying price process follows the Heston model. Consequently, we tailor quasi-Monte Carlo methods directly to the Heston model …

Persistent link: https://www.econbiz.de/10010883500

Handling discontinuities in financial engineering : good path simulation and smoothing

Wang, Xiaoqun - In: Operations research 64 (2016) 2, pp. 297-314

Persistent link: https://www.econbiz.de/10011485479

Smoothing the payoff for efficient computation of basket option prices

Bayer, Christian; Siebenmorgen, Markus; Tempone, Raul - In: Quantitative finance 18 (2018) 3, pp. 491-505

Persistent link: https://www.econbiz.de/10011906403

Pricing and Hedging with Discontinuous Functions: Quasi-Monte Carlo Methods and Dimension Reduction

Wang, Xiaoqun; Tan, Ken Seng - In: Management Science 59 (2013) 2, pp. 376-389

Quasi-Monte Carlo (QMC) methods are important numerical tools in the pricing and hedging of complex financial instruments. The effectiveness of QMC methods crucially depends on the discontinuity and the dimension of the problem. This paper shows how the two fundamental limitations can be...

Persistent link: https://www.econbiz.de/10010990531