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Weighted Monte Carlo: Calibrating the Smile and Preserving Martingale Condition
Monte Carlo exotic options the Martingale condition might geometric cliquet option
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2011/3/23
Weighted Monte Carlo prices exotic options calibrating the probabilities of previously generated paths by a regular Monte Carlo to fit a set of option premiums. When only vanilla call and put options ...
On the Savety Loading for Chain Ladder Estimates: A Monte Carlo Simulation Study
Savety Loading Chain Ladder Estimates Monte Carlo Simulation Study
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2010/10/21
A method for analysing the risk of taking a too low reserve level by use of Chain Ladder method is developed. We give an answer to the question of how much safety loading in terms of the Chain Ladder...
A general method for debiasing a Monte Carlo estimator
Monte Carlo simulation unbiased estimates
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2010/10/20
Consider a process, stochastic or deterministic, obtained by using a numerical integration scheme, or from Monte-Carlo methods involving an approximation to an integral, or a Newton-Raphson iteration ...
Pricing and Hedging Asian Basket Options with Quasi-Monte Carlo Simulations
Pricing Asian Basket Options Quasi-Monte Carlo Simulations
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2010/11/1
In this article we consider the problem of pricing and hedging high-dimensional
Asian basket options by Quasi-Monte Carlo simulation. We assume a Black-Scholes market with time-dependent volatilities...