This paper describes a practical algorithm based on Monte Carlo simulation for the pricing of
multidimensional American (ie, continuously exercisable) and Bermudan (ie, discretely …

This paper studies the pricing of variance swap derivatives with stochastic volatility by the
control variate method. A closed form solution is derived for the approximate model with …

We introduce a set of improvements which allow the calculation of very tight lower bounds
for Bermudan derivatives using Monte Carlo simulation. These tight lower bounds can be …

This paper resolves the disagreement between Longstaff et al.[2001. Journal of Finance
Economics 62, 39–66] and Andersen and Andreasen [2001. Journal of Financial Economics …

The over-the-counter (OTC) interest rate derivative market is large and rapidly developing. In
March 2005, the Bank for International Settlements published its “Triennial Central Bank …

The thesis focuses on pricing complex options using Monte Carlo simulations. Due to the
versatility of the Monte Carlo method, we are able to evaluate option prices with various …

Monte Carlo acceleration method for pricing variance derivatives under stochastic volatility
models with jump diffusion is researched in the paper. Control variate and importance …

In Hull & White (1993) a method to price path-dependent securities in trees is demonstrated
to be an efficient way of handling particular path-dependent securities. The main idea is to …

In this thesis we investigate the use of control variates for the pricing of callable Libor exotics
in the Libor Market Model. We introduce the concepts necessary to value these products …

We consider the problem of pricing European interest rate derivatives based on the LIBOR
Market Model (LMM) with one driving factor. We derive a closed-form approximation of the …