Many advances have been made in recent years in the pricing of early exercisable derivatives using Monte Carlo simulation, but it is still a problem. The fundamental problem is that while existing techniques work, they generally require a degree of specialist handcrafting or sub-Monte Carlo simulations. The former requires an undesirable amount of research for new payouts and the latter results in models that are slower than is satisfactory.
We study the pricing of contracts that give the holder
The week on Risk.net, July 14–20, 2017Receive this by email