This paper proposes a simple modification to the standard Monte Carlo simulation procedure for computing the prices of … price. This procedure is referred to as the empirical martingale simulation (EMS). The EMS ensures that the price estimated … by simulation satisfies the rational option pricing bounds. The EMS yields a substantial error reduction for the price …

Monte Carlo simulation is widely used to measure the credit risk in portfolios of loans, corporate bonds, and other … instruments subject to possible default. The accurate measurement of credit risk is often a rare-event simulation problem because …

This paper describes a practical algorithm based on Monte Carlo simulation for the pricing of multidimensional American …

. Alternatively, we develop a reduction algorithm based on stochastic dominance to speed up the computations. Monte Carlo simulation …

Monte Carlo simulation is playing an increasingly important role in the pricing and hedging of complex, path dependent … financial instruments. Low discrepancy simulation methods offer the potential to provide faster rates of convergence than those …

We introduce two new methods to calculate bounds for zero-sum game options using Monte Carlo simulation. These extend … shown that the primal-dual simulation method can still be used as a generic way to obtain bounds in the extended framework …, and we apply the new results to the pricing of convertible bonds by simulation. This paper was accepted by Wei Xiong …

Monte Carlo simulation has been used to value options since Boyle's seminal paper. Monte Carlo simulation, however, has … options by linking forward-moving simulation and the backward-moving recursion of dynamic programming through an iterative …