Search Results - subject:"Conditional Monte Carlo"

A dimension and variance reduction Monte-Carlo method for option pricing under jump-diffusion models

Dang, Duy Minh; Jackson, Kenneth R.; Sues, Scott - In: Applied mathematical finance 24 (2017) 3/4, pp. 175-215

Persistent link: https://www.econbiz.de/10011815225

Tests for conditional ellipticity in multivariate GARCH models

Francq, Christian; Jiménez-Gamero, M. D.; Meintanis, S. G. - In: Journal of econometrics 196 (2017) 2, pp. 305-319

Persistent link: https://www.econbiz.de/10011818298

Advanced Monte Carlo Methods with Applications in Finance

Chan, Joshua Chi Chun - 2010

and easy to program, and do not require specialized software. Secondly, two major applications of conditional Monte Carlo … conditional Monte Carlo estimators developed for simple settings can be extended to handle complex models involving hundreds or …

Persistent link: https://www.econbiz.de/10009448656

A path-independent approach to integrated variance under the CEV model

Wang, Hengxu; O’Hara, John G.; Constantinou, Nick - In: Mathematics and Computers in Simulation (MATCOM) 109 (2015) C, pp. 130-152

enables us to provide a conditional Monte-Carlo scheme for simulating the fair variance strike. Compared with results in the … model and a conditional Monte Carlo scheme is also presented using option data on the S&P 500. …

Persistent link: https://www.econbiz.de/10011117188

Dimension and variance reduction for Monte Carlo methods for high-dimensional models in finance

Dang, Duy Minh; Jackson, Kenneth R.; Mohammadi, Mohammadreza - In: Applied mathematical finance 22 (2015) 5/6, pp. 522-552

Persistent link: https://www.econbiz.de/10011490623

Improved algorithms for rare event simulation with heavy tails

Asmussen, Søren; Kroese, Dirk P. - 2006

the other uses conditional Monte Carlo conditioning upon Y1,..., Yn-1. Properties of the relative error of the estimators …, the conditional Monte Carlo estimator is the first heavy-tailed example of an estimator with bounded relative error …

Persistent link: https://www.econbiz.de/10009448797

Control variates and conditional Monte Carlo for basket and Asian options

Dingeç, Kemal Dinçer; Hörmann, Wolfgang - In: Insurance: Mathematics and Economics 52 (2013) 3, pp. 421-434

combination of that new control variate with conditional Monte Carlo and quadratic control variates leads to the newly proposed …

Persistent link: https://www.econbiz.de/10011046607

Durbin’s random substitution and conditional Monte Carlo

González-Barrios, José; Federico O’Reilly; Rueda, Raúl - In: Metrika 72 (2010) 3, pp. 369-383

Persistent link: https://www.econbiz.de/10008673986

Using Simulation to Estimate First Passage Distribution

Ross, Sheldon M.; Schechner, Zvi - In: Management Science 31 (1985) 2, pp. 224-234

Consider a discrete time Markov process {X<sub>n</sub>, n 0}. For a given subset \scr{A} of the state space, consider the problem of using simulation to estimate the number of transitions it takes the process to enter \scr{A}. Using estimators based on the "observed hazard," we are able to improve on the...

Persistent link: https://www.econbiz.de/10009209093