Least-Squares Monte Carlo Simulation for Time Value of Options and Guarantees Calculation

Piotr Komański and Oskar Sokoliński

Ekonomia journal, 2015, vol. 41

Abstract: The article presents an application of least-squares Monte Carlo concept to calculation of Time Value of Options and Guarantees − Market Consistent Embedded Value component. Previously used in American-type options’ valuation, this method proved to be a very effective and time-saving tool. The paper summarizes analysis performed on the theoretical Open Pension Fund portfolio (based on Polish market average data).

Keywords: TVOG; Pension Fund; LSMC; Nested Stochastic Simulations (search for similar items in EconPapers)
Date: 2015
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://ekonomia.wne.uw.edu.pl/ekonomia/getFile/762 (application/pdf)
no

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eko:ekoeko:41_81

DOI: 10.17451/eko/41/2015/93

Access Statistics for this article

More articles in Ekonomia journal from Faculty of Economic Sciences, University of Warsaw Contact information at EDIRC.
Bibliographic data for series maintained by ().