Similar Search Results

Variance reduction techniques of importance sampling Monte Carlo methods for pricing options

Zhao, Qiang; Liu, Guo; Gu, Guiding - In: Journal of mathematical finance 3 (2013) 4, pp. 431-436

Persistent link: https://www.econbiz.de/10010239518

Efficient pricing of high-dimensional American-style derivatives : a robust regression Monte Carlo method

Jonen, Christian - 2011

Persistent link: https://www.econbiz.de/10010204985

Multi-level Monte Carlo simulations with importance sampling

Stilger, Przemyslaw Stan; Poon, Ser-Huang - 2013

We present an application of importance sampling in a Monte Carlo simulation for multi-asset options and in a Multi-Level Monte Carlo simulation. We demonstrate that applying importance sampling only on the first level of the Multi-Level Monte Carlo significantly improves its effective...

Persistent link: https://www.econbiz.de/10010206934

Nearly exact option price simulation using characteristic functions

Bernard, Carole; Cui, Zhenyu; McLeish, Don L. - In: International journal of theoretical and applied finance 15 (2012) 7, pp. 1-29

Persistent link: https://www.econbiz.de/10009685897

VaR/CVaR estimation under stochastic volatility models

Han, Chuan-Hsiang; Liu, Wei-han; Chen, Tzu-ying - In: International journal of theoretical and applied finance 17 (2014) 2, pp. 1-35

Persistent link: https://www.econbiz.de/10010363922

Importance sampling for option Greeks with discontinuous payoffs

Tong, Shaolong; Liu, Guangwu - In: INFORMS journal on computing : JOC 28 (2016) 2, pp. 223-235

Persistent link: https://www.econbiz.de/10011489268

An importance sampling-based smoothing approach for quasi-Monte Carlo simulation of discrete barrier options

Xie, Fei; He, Zhijian; Wang, Xiaoqun - In: European journal of operational research : EJOR 274 (2019) 2, pp. 759-772

Persistent link: https://www.econbiz.de/10011990222

Efficient simulation of value-at-risk under a jump diffusion model : a new method for moderate deviation events

Fuh, Cheng-Der; Teng, Huei-Wen; Wang, Ren-Her - In: Computational economics 51 (2018) 4, pp. 973-990

Persistent link: https://www.econbiz.de/10011972209

Importance sampling for jump-diffusions via cross-entropy

Rieke, Rebecca; Sun, Weifeng; Wang, Hui - In: The journal of computational finance 22 (2018) 1, pp. 107-130

Persistent link: https://www.econbiz.de/10011890185

Efficient randomized quasi-Monte Carlo methods for portfolio market risk

Sak, Halis; Başoğlu, İsmail - In: Insurance / Mathematics & economics 76 (2017), pp. 87-94

Persistent link: https://www.econbiz.de/10011774777