In the literature, there are not satisfactory methods for measuring and presenting the performance of confidence regions. In this paper, techniques for measuring effectiveness of confidence regions and for the graphical display of simulation evidence concerning the coverage and effectiveness of...

This paper describes and analyses the use of the Filtered Historical Simulation algorithm in pricing spread options. Spread options are contracts whose payoff depends on the price difference (spread) between two or more underlying assets at a future date. Such kind of options are written in the...