— June 2, 2008 —
Prof. Christian Bender talks about "State-of-the-art option pricing by simulation”. See event description at PRMIA (Professional
Risk Managers’ International Association) for more info.
Option pricing with Monte Carlo methods is often required for estimation of precise market-risk. However, until recently pricing securities with early exercise or issuer's call features remained practically infeasible in simulation settings. The main challenges for practical usage of an option valuation by simulation is the avoidance of nested simulation and the estimation of confidence bounds of the price. Using practical examples, this talk will outline the recent developments satisfying these requirements.
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