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An effective hybrid variance reduction method for pricing the Asian options and its variants

Lu, King-Jeng; Liang, Chiung-Ju; Hsieh, Ming-Hua; Lee, … - In: The North American journal of economics and finance : a … 51 (2020), pp. 1-7

Persistent link: https://www.econbiz.de/10012659091

Improved variance reduced Monte-Carlo simulation of in-the-money options

Müller, Armin - In: Journal of mathematical finance 6 (2016) 3, pp. 361-367

Persistent link: https://www.econbiz.de/10011583475

Examining the efficiency of American put option pricing by Monte Carlo methods with variance reduction

Chang, George - In: International journal of economics and finance 10 (2018) 2, pp. 10-13

Persistent link: https://www.econbiz.de/10011814902

An efficient convergant lattice method for Asian option pricing with superlinear complexity

Lu, Ling; Xu, Wei; Qian, Zhehui - In: The journal of computational finance 20 (2016/2017) 4, pp. 1-38

Persistent link: https://www.econbiz.de/10011691626

Exotic options pricing under special Lévy process models : a biased control variate method approach

Jia, Jiayi; Lai, Yongzeng; Li, Lin; Tan, Vinna - In: Finance research letters 34 (2020), pp. 1-4

Persistent link: https://www.econbiz.de/10012436769

Efficient variance reduction for American call options using symmetry arguments

Boire, François-Michel; Reesor, R. Mark; Stentoft, Lars - In: Journal of risk and financial management : JRFM 14 (2021) 11, pp. 1-21

Recently it was shown that the estimated American call prices obtained with regression and simulation based methods can …

Persistent link: https://www.econbiz.de/10012794352

Pricing American Options using Monte Carlo Simulation

Tshehla, Godfrey - 2023

Numerical methods such as binomial and finite difference methods can be used to price options however the problem is when the options have early exercise features. In this research project, we investigate the effectiveness and accuracy of Monte Carlo methods in pricing American options. We...

Persistent link: https://www.econbiz.de/10014355454

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

American option valuation methods

Zhao, Jinsha - In: International journal of economics and finance 10 (2018) 5, pp. 1-13

Persistent link: https://www.econbiz.de/10011861003

Options pricing by Monte Carlo simulation, binomial tree and BMS model : a comparative study

Bendob, Ali; Bentouir, Naima - In: Journal of banking and financial economics 1 (2019) 11, pp. 79-95

testing the effectiveness of the most popular options pricing models , which are the Monte Carlo simulation method, the … categories with a high level of volatility in In-the money category, other finding concludes that the Monte Carlo Simulation …

Persistent link: https://www.econbiz.de/10012115106