Search Results - subject:"Control variate"

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

A subordinated CIR intensity model with application to wrong-way risk CVA

Mbaye, Cheikh; Vrins, Frédéric - In: International journal of theoretical and applied finance 21 (2018) 7, pp. 1-22

Persistent link: https://www.econbiz.de/10011956998

Pricing Asian power options under jump-fraction process

Peng, Bin; Peng, Fei - In: Journal of Economics, Finance and Administrative Science 17 (2012) 33, pp. 2-9

evaluated in Monte Carlo simulation using control variate technique with the help of the above analytic solution. Overwhelming …

Persistent link: https://www.econbiz.de/10011859334

Pricing Asian power options under jump-fraction process

Peng, Bin; Peng, Fei - In: Journal of economics, finance & administrative science 17 (2012) 33, pp. 2-9

evaluated in Monte Carlo simulation using control variate technique with the help of the above analytic solution. Overwhelming …

Persistent link: https://www.econbiz.de/10011871404

A general control variate method for multi-dimensional SDEs : an application to multi-asset options under local stochastic volatility with jumps models in finance

Shiraya, Kenichiro; Takahashi, Akihiko - In: European journal of operational research : EJOR 258 (2017) 1, pp. 358-371

Persistent link: https://www.econbiz.de/10011642221

Affine-structure models and the pricing of energy commodity derivatives

Kyriakou, Ioannis; Nomikos, Nikos K.; Papapostolou, Nikos C. - In: European financial management : the journal of the … 22 (2016) 5, pp. 853-881

Persistent link: https://www.econbiz.de/10011713164

Estimating production functions with control functions when capital is measured with error

Kim, Kyoo Il; Petrin, Amil; Song, Suyong - In: Journal of econometrics 190 (2016) 2, pp. 267-279

Persistent link: https://www.econbiz.de/10011592265

Improved algorithms for rare event simulation with heavy tails

Asmussen, Søren; Kroese, Dirk P. - 2006

The estimation of P(S-n u) by simulation, where S, is the sum of independent. identically distributed random varibles Y-1,..., Y-n, is of importance in many applications. We propose two simulation estimators based upon the identity P(S-n u) = nP(S, u, M-n = Y-n), where M-n = max(Y-1,...,...

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

Brownian motion assumption is presented. It is based on a new control variate method that uses the closed form of the expected … combination of that new control variate with conditional Monte Carlo and quadratic control variates leads to the newly proposed … algorithm. Numerical experiments show that the new algorithm is more efficient than the classical control variate method using …

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

A general closed-form spread option pricing formula

Caldana, Ruggero; Fusai, Gianluca - In: Journal of Banking & Finance 37 (2013) 12, pp. 4893-4906

We propose a new accurate method for pricing European spread options by extending the lower bound approximation of Bjerksund and Stensland (2011) beyond the classical Black–Scholes framework. This is possible via a procedure requiring a univariate Fourier inversion. In addition, we are also...

Persistent link: https://www.econbiz.de/10010709474