regression and simulation-based least-squares Monte Carlo method by using put-call symmetry. The results show that, for a large …

In Longstaff and Schwartz (2001) a method for American option pricing using simulation and regression is suggested, and … since then the method has rapidly gained importance. However, the idea of using regression and simulation for American …

Recently, simulation methods combined with regression techniques have gained importance when it comes to American …

implementation of the calculations. The three technical elements are: trade-level regression; analytic computation of sensitivities …

This paper presents a tailor-made discrete-time simulation model for valuing path-dependent options, such as lookback … illustrate the option pricing by using Quasi Monte Carlo simulation methods. We give an Asian option pricing which relies heavily …

integrand are given by some stochastic differential equation. We also propose numerical simulation of stochastic differential … integrals terms at the initial time of the simulation along with the solution of the stochastic integrals which is found in … terms of Hermite polynomials and variance of the integrals. We apply the method of iterated integrals to simulation of …

testing the effectiveness of the most popular options pricing models , which are the Monte Carlo simulation method, the … effect of each model on the prediction of the current options prices, using the regression analysis, and the Nifty50 option … categories with a high level of volatility in In-the money category, other finding concludes that the Monte Carlo Simulation …

This paper presents a new approach to perform a nearly unbiased simulation using inversion of the characteristic … and of continuously monitored Parisian options in the Black-Scholes framework. This method of simulation can be applied to …