scholarly journals Non-parametric partial importance sampling for financial derivative pricing

2011 ◽  
Vol 11 (8) ◽  
pp. 1193-1206 ◽  
Author(s):  
Jan C. Neddermeyer
Keyword(s):  
Importance Sampling ◽  
Derivative Pricing ◽  
Financial Derivative ◽  
Non Parametric

scholarly journals A Comparative Analysis of Monte Carlo and Quasi-Monte Carlo Methods in Financial Derivative Pricing

2021 ◽  
Vol 69 (1) ◽  
pp. 1-6
Author(s):  
SM Arif Hossen ◽  
ABM Shahadat Hossain
Keyword(s):  
Monte Carlo ◽  
Comparative Analysis ◽  
Monte Carlo Methods ◽  
American Options ◽  
Financial Derivatives ◽  
Numerical Results ◽  
Derivative Pricing ◽  
Quasi Monte Carlo ◽  
Financial Derivative ◽  
Path Dependent

The main purpose of this dissertation is to study Monte Carlo (MC) and Quasi-Monte Carlo (QMC) methods for pricing financial derivatives. We estimate the Price of European as well as various path dependent options like Asian, Barrier and American options by using these methods. We also compute the numerical results by the above mentioned methods and compare them graphically as well with the help of the MATLAB Coding. Dhaka Univ. J. Sci. 69(1): 1-6, 2021 (January)

Improving Adaptive Importance Sampling Simulation of Markovian Queueing Models using Non-parametric Smoothing

SIMULATION ◽  
2007 ◽  
Vol 83 (12) ◽  
pp. 811-820 ◽  
Author(s):  
Edwin Woudt ◽  
Pieter-Tjerk de Boer ◽  
Jan-Kees van Ommeren
Keyword(s):  
Importance Sampling ◽  
Queueing Models ◽  
Adaptive Importance Sampling ◽  
Non Parametric
Sign in / Sign up

Export Citation Format

Share Document