Juggling snowballs

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

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact [email protected] or view our subscription options here: http://subscriptions.risk.net/subscribe

You are currently unable to copy this content. Please contact [email protected] to find out more.

To continue reading...

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here: