Jaqueline T. M. Marins

  • Citations Per Year
Learn More
As in any Monte Carlo application, simulation option valuation produces imprecise estimates. In such an application, Descriptive Sampling (DS) has proven to be a powerful Variance Reduction Technique. However, this performance deteriorates as the probability of exercising an option decreases. In the case of out-of-the-money options, the solution is to use(More)
  • 1