An efficient implementation of a least squares Monte Carlo method for valuing American-style options

2009 ◽  
Vol 86 (6) ◽  
pp. 1024-1039 ◽  
Author(s):  
Christian Jonen
Keyword(s):  
Monte Carlo ◽  
Monte Carlo Method ◽  
Least Squares ◽  
Efficient Implementation ◽  
Least Squares Monte Carlo ◽  
American Style

scholarly journals Testing the Least-Squares Monte Carlo Method for the Evaluation of Capital Requirements in Life Insurance

Risks ◽  
2020 ◽  
Vol 8 (2) ◽  
pp. 48
Author(s):  
Massimo Costabile ◽  
Fabio Viviano
Keyword(s):  
Monte Carlo ◽  
Monte Carlo Method ◽  
Least Squares ◽  
Closed Form ◽  
Life Insurance ◽  
Numerical Experiments ◽  
Capital Requirements ◽  
Basis Functions ◽  
Evaluation Framework ◽  
Least Squares Monte Carlo

In this paper, we test the efficiency of least-squares Monte Carlo method to estimate capital requirements in life insurance. We choose a simplified Gaussian evaluation framework where closed-form formulas are available and allow us to obtain solid benchmarks. Extensive numerical experiments were conducted by considering different combinations of simulation runs and basis functions, and the corresponding results are illustrated.

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