This paper develops a Monte Carlo simulation method for solving option valuation problems. The method simulates the process generating the returns on the underlying asset and invokes the riskâ€¦ (More)

A procedure is developed for the valuation of options when there are two underlying state variables. The approach involves an extension of the lattice binomial approach developed by Cox, Ross, andâ€¦ (More)

This paper examines the lifetime portfolio-selection problem in the presence of transaction costs. Using a discrete time approach, we develop analytical expressions for the investorâ€™s indirectâ€¦ (More)

1. Introduction This paper introduces and illustrates a new version of the Monte Carlo method that has attractive properties for the numerical valuation of derivatives. The traditional Monte Carloâ€¦ (More)

There are many examples of option contracts in which the payoff depends on several stochastic variables. These options often can be priced by the valuation of multidimensional integrals. Quasiâ€“ Monteâ€¦ (More)

This paper deals with a recent modi"cation of the Monte Carlo method known as quasi-random Monte Carlo. Under this approach, one uses specially selected deterministic sequences rather than randomâ€¦ (More)

In this paper, we propose an estimator for pricing high-dimensional American-style options and show that asymptotically its upper bias converges to zero. An advantage of the proposed estimator isâ€¦ (More)

This paper investigates conditions under which correlation matrices have a strictly positive dominant eigenvector. The sufficient conditions, from the Perron-Frobenius theorem, are that all theâ€¦ (More)

This paper discusses the use of lattice rules to evaluate low and medium dimensional integrals. Lattice rules are based on the use of deterministic sequences rather than random sequences. They are aâ€¦ (More)

The prices of complex derivative securities are often represented as highdimensional integrals in modern finance. The basic Monte Carlo approach has proved useful in the evaluation of theseâ€¦ (More)