Journal ArticleDOI
Monte Carlo methods for security pricing
TLDR
In this article, the authors discuss some of the recent applications of the Monte Carlo method to security pricing problems, with emphasis on improvements in efficiency, and describe the use of deterministic low-discrepancy sequences, also known as quasi-Monte Carlo methods, for the valuation of complex derivative securities.About:
This article is published in Journal of Economic Dynamics and Control.The article was published on 1997-06-29. It has received 887 citations till now. The article focuses on the topics: Monte Carlo methods for option pricing & Quasi-Monte Carlo method.read more
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Journal ArticleDOI
Optimization of conditional value-at-risk
R. T. Rockafellar,S Uryasev +1 more
TL;DR: In this paper, a new approach to optimize or hedging a portfolio of financial instruments to reduce risk is presented and tested on applications, which focuses on minimizing Conditional Value-at-Risk (CVaR) rather than minimizing Value at Risk (VaR), but portfolios with low CVaR necessarily have low VaR as well.
Journal ArticleDOI
A Jump-Diffusion Model for Option Pricing
TL;DR: In this article, a double exponential jump-diffusion model is proposed for option pricing, which is simple enough to produce analytical solutions for a variety of option-pricing problems, including call and put options, interest rate derivatives, and path dependent options.
Journal ArticleDOI
Pricing American-style securities using simulation
Mark Broadie,Paul Glasserman +1 more
TL;DR: A simulation algorithm for estimating the prices of American-style securities, i.e. securities with opportunities for early exercice, is developed that provides both point estimates and error bounds for true security price.
A Pricing Method for Options Based on Average Asset Values
Angelien Kemna,A.C.F. Vorst +1 more
TL;DR: In this paper, the authors present a new strategy for pricing average value options, i.e. options whose payoff depends on the average price of the underlying asset over a fixed period leading up to the maturity date.
Book
Measuring Market Risk
TL;DR: In this paper, the authors proposed a mean-variance framework for measuring financial risk, which is used to measure the value at risk and the coherent risk measures in financial markets.
References
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Numerical recipes in C
TL;DR: The Diskette v 2.06, 3.5''[1.44M] for IBM PC, PS/2 and compatibles [DOS] Reference Record created on 2004-09-07, modified on 2016-08-08.
Book
Numerical Recipes in C: The Art of Scientific Computing
TL;DR: Numerical Recipes: The Art of Scientific Computing as discussed by the authors is a complete text and reference book on scientific computing with over 100 new routines (now well over 300 in all), plus upgraded versions of many of the original routines, with many new topics presented at the same accessible level.
Journal ArticleDOI
Numerical Recipes in C: The Art of Scientific Computing
Mary C. Seiler,Fritz A. Seiler +1 more
Book
Investment Under Uncertainty
Avinash Dixit,Robert S. Pindyck +1 more
TL;DR: In this article, Dixit and Pindyck provide the first detailed exposition of a new theoretical approach to the capital investment decisions of firms, stressing the irreversibility of most investment decisions, and the ongoing uncertainty of the economic environment in which these decisions are made.