Search Results - subject:"Variance Reduction"

PERTURBATION STABLE CONDITIONAL ANALYTIC MONTE-CARLO PRICING SCHEME FOR AUTO-CALLABLE PRODUCTS

FRIES, CHRISTIAN P.; JOSHI, MARK S. - In: International Journal of Theoretical and Applied … 14 (2011) 02, pp. 197-219

In this paper, we present a generic method for the Monte-Carlo pricing of (generalized) auto-callable products (aka. trigger products), i.e., products for which the payout function features a discontinuity with a (possibly) stochastic location (the trigger) and value (the payout).The Monte-Carlo...

Persistent link: https://www.econbiz.de/10008914064

Empirical Study of Nikkei 225 Options with the Markov Switching GARCH Model

Satoyoshi, Kiyotaka; Mitsui, Hidetoshi - In: Asia-Pacific Financial Markets 18 (2011) 1, pp. 55-68

Persistent link: https://www.econbiz.de/10008926408

Convenient multiple directions of stratification

Jourdain, Benjamin; Lapeyre, Bernard; Sabino, Piergiacomo - In: International journal of theoretical and applied finance 14 (2011) 6, pp. 867-897

Persistent link: https://www.econbiz.de/10009380998

Variance Reduction for Monte Carlo Simulation of European, American or Barrier Options in a Stochastic Volatility Environment

Tullie, Tracey Andrew - 2002

Carlo for a diffusion process modeled as a stochastic differential equation. The essential element to our variance reduction … skew. We next wish to apply our variance reduction technique to the pricing of an American and barrier option. A discussion … the importance sampling variance reduction method to a barrier option is similar to that of a European option since there …

Persistent link: https://www.econbiz.de/10009431269

A Variance Reduction Technique Based on Integral Representations

Heath, David; Platen, Eckhard - Finance Discipline Group, Business School - 2002

Standard Monte Carlo methods can often be significantly improved with the addition of appropriate variance reduction … techniques. In this paper a new and powerful variance reduction technique is presented. The method is based directly on the Ito …

Persistent link: https://www.econbiz.de/10004984608

Variance reduction methods for simulation of densities on Wiener space

Kohatsu, Arturo; Pettersson, Roger - Department of Economics and Business, Universitat … - 2002

space. We also study variance reduction methods with the help of Malliavin derivatives. For this, we give some general …

Persistent link: https://www.econbiz.de/10005772153

Coupling from the past with randomized quasi-Monte Carlo

L’Ecuyer, P.; Sanvido, C. - In: Mathematics and Computers in Simulation (MATCOM) 81 (2010) 3, pp. 476-489

The coupling-from-the-past (CFTP) algorithm of Propp and Wilson permits one to sample exactly from the stationary distribution of an ergodic Markov chain. By using it n times independently, we obtain an independent sample from that distribution. A more representative sample can be obtained by...

Persistent link: https://www.econbiz.de/10010869901

Bias and variance reduction techniques for bootstrap information criteria

Kitagawa, Genshiro; Konishi, Sadanori - In: Annals of the Institute of Statistical Mathematics 62 (2010) 1, pp. 209-234

Persistent link: https://www.econbiz.de/10008497338

The Myth of International Diversification

Moosa, Imad A.; Al-Deehani, Talla M. - In: Economia Internazionale / International Economics 62 (2009) 3, pp. 383-406

We test the proposition that international diversification is effective in reducing risk. The traditional underlying argument is that low correlations of international stock returns make the variance of an international portfolio lower than the variance of a purely domestic portfolio when long...

Persistent link: https://www.econbiz.de/10004985684

Quasi-Monte Carlo methods with applications in finance

Pierre L’Ecuyer - In: Finance and Stochastics 13 (2009) 3, pp. 307-349

Persistent link: https://www.econbiz.de/10005061363