Search Results - subject:"Control variate"

t-Copula generation for control variates

Hörmann, Wolfgang; Sak, Halis - In: Mathematics and Computers in Simulation (MATCOM) 81 (2010) 4, pp. 782-790

when using the result of the multi-normal model as external control variate. Therefore we develop a new generation method …

Persistent link: https://www.econbiz.de/10011050181

A smooth estimator for MC/QMC methods in finance

Han, Chuan-Hsiang; Lai, Yongzeng - In: Mathematics and Computers in Simulation (MATCOM) 81 (2010) 3, pp. 536-550

. But it can be fixed by adding a (local) martingale control variate into the least-squares estimator to gain accuracy and …, the efficiency of the martingale control variate method decreases. We propose an importance sampling method which performs …

Persistent link: https://www.econbiz.de/10010750228

EFFICIENT, ALMOST EXACT SIMULATION OF THE HESTON STOCHASTIC VOLATILITY MODEL

HAASTRECHT, ALEXANDER VAN; PELSSER, ANTOON - In: International Journal of Theoretical and Applied … 13 (2010) 01, pp. 1-43

We deal with discretization schemes for the simulation of the Heston stochastic volatility model. These simulation methods yield a popular and flexible pricing alternative for pricing and managing a book of exotic derivatives which cannot be valued using closed-form expressions. For the Heston...

Persistent link: https://www.econbiz.de/10008487381

A Control Variate Method for Monte Carlo Simulations of Heath-Jarrow-Morton Models with Jumps

Chiarella, Carl; Sklibosios, Christina Nikitopoulos; … - In: Applied Mathematical Finance 14 (2007) 5, pp. 365-399

and a control variate numerical method is developed under a more general state dependent volatility structure, a case in … which closed form solutions are generally not possible. In doing so, a novel perspective is provided on control variate …

Persistent link: https://www.econbiz.de/10005495381

A Technique for Reducing Discretization Bias from Monte Carlo Simulations: Option Pricing under Stochastic Interest Rates

Lindset, Snorre; Lund, Arne-Christian - In: The European Journal of Finance 13 (2007) 6, pp. 545-564

measured by the so-called speed-up factor. The main objective of this paper is to demonstrate that a control variate can also …

Persistent link: https://www.econbiz.de/10005632856

Pricing the American Put Option: A Detailed Convergence Analysis for Binomial Models

Leisen, Dietmar - University of Bonn, Germany - 1996

study the Control Variate technique introduced by Hull and White[88]. Since the investigation reveals the need for smooth …

Persistent link: https://www.econbiz.de/10004968298

A New Control Variate Estimator for an Asian Option

Kamizono, Kenji; Kariya, Takeaki; Liu, Regina; … - In: Asia-Pacific Financial Markets 11 (2004) 2, pp. 143-160

estimators, the one with the control variate derived from the geometric mean has been shown by Boyle et al. (1997) to perform … best so far. In this paper, a new improved control variate estimator for this type of Asian option is proposed and … investigated. Simulation results confirm that it does perform better than the control variate derived from the geometric mean. The …

Persistent link: https://www.econbiz.de/10005810968

Efficient and Robust Causal Inference: A Distributional Approach

Tan, Zhiqiang - Berkeley Electronic Press - 2004

Drawing inferences about the effects of exposures or treatments is a common challenge in many scientific fields. We propose two methods serving complementary purposes in causal inference. One can be used to estimate average causal effects, assuming ``no confounding" given measured covariates....

Persistent link: https://www.econbiz.de/10005752657

Monte Carlo applied to exotic digital options

Vaugirard, Victor - In: Applied Mathematical Finance 8 (2001) 3, pp. 183-196

This paper tailors Monte Carlo simulations to the scope of binary options whose underlying dynamics obey jump-diffusion or jump-mean-reverting processes and may not be traded. In the process, the existence of well-defined arbitrage prices is justified notwithstanding a framework of incomplete...

Persistent link: https://www.econbiz.de/10005639865

Asymptotic Distribution of the EMS Option Price Estimator

Duan, Jin-Chuan; Gauthier, Geneviève; Simonato, Jean-Guy - In: Management Science 47 (2001) 8, pp. 1122-1132

Monte Carlo simulation is commonly used for computing prices of derivative securities when an analytical solution does not exist. Recently, a new simulation technique known as empirical martingale simulation (EMS) has been proposed by Duan and Simonato (1998) as a way of improving simulation...

Persistent link: https://www.econbiz.de/10009203865