On improving the least squares Monte Carlo option valuation method

DOI10.1007/s11147-008-9026-xzbMath1163.91377OpenAlexW2170347140MaRDI QIDQ1025618

Nelson Areal, Artur Rodrigues, Manuel Rocha Armada

Publication date: 19 June 2009

Published in: Review of Derivatives Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11147-008-9026-x

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60)

Related Items (11)

Inside the Solvency 2 black box: net asset values and solvency capital requirements with a least-squares Monte-Carlo approach ⋮ Using forward Monte-Carlo simulation for the valuation of American barrier options ⋮ A Comparison Between Different Numerical Schemes for the Valuation of Unit-Linked Contracts Embedding a Surrender Option ⋮ Valuation of R&D Investment Opportunities Using the Least-Squares Monte Carlo Method ⋮ An improved least squares Monte Carlo valuation method based on heteroscedasticity ⋮ Fair dynamic valuation of insurance liabilities: a loss averse convex hedging approach ⋮ Fair dynamic valuation of insurance liabilities: merging actuarial judgement with market- and time-consistency ⋮ Fair dynamic valuation of insurance liabilities via convex hedging ⋮ Valuing portfolios of interdependent real options using influence diagrams and simulation-and-regression: a multi-stage stochastic integer programming approach ⋮ Fast and efficient nested simulation for large variable annuity portfolios: a surrogate modeling approach ⋮ Discrete dividends and the FTSE-100 index options valuation

Uses Software

• TOMS659

Cites Work

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