Search Results - subject:"LSMC"

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Distributed least-squares Monte Carlo for American option pricing

Xiong, Lu; Luo, Jiyao; Vise, Hanna; White, Madison - In: Risks : open access journal 11 (2023) 8, pp. 1-16

techniques, especially the least squares Monte Carlo (LSMC) method, have been broadly used in optimizing the pricing algorithm …. This paper discusses the application of distributed computing technology to enhance the LSMC in American option pricing …. Although parallel computing has been used to improve the LSMC method, this paper is the first to explore distributed computing …

Persistent link: https://www.econbiz.de/10014370419

Modeling the future value distribution of a life insurance portfolio

Costabile, Massimo; Viviano, Fabio - In: Risks 9 (2021) 10, pp. 1-17

This paper addresses the problem of approximating the future value distribution of a large and heterogeneous life insurance portfolio which would play a relevant role, for instance, for solvency capital requirement valuations. Based on a metamodel, we first select a subset of representative...

Persistent link: https://www.econbiz.de/10013200841

Modeling the future value distribution of a life insurance portfolio

Costabile, Massimo; Viviano, Fabio - In: Risks : open access journal 9 (2021) 10, pp. 1-17

Persistent link: https://www.econbiz.de/10012632215

An eﬃcient Monte Carlo based approach for the simulation of future annuity values

Bacinello, Anna Rita; Millossovich, Pietro; Viviano, Fabio - 2021

Persistent link: https://www.econbiz.de/10012615282

Modelling the future value distribution of a life insurance portfolio

Costabile, Massimo; Viviano, Fabio - 2021

Persistent link: https://www.econbiz.de/10012615296