Browsing by Author "Van der Merwe, C. J."

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    Calculation aspects of the European rebalanced basket option using Monte Carlo methods : valuation
    (Operations Research Society of South Africa, 2012) Van der Merwe, C. J.; Conradie, W. J.
    Extra premiums can be charged to a client to guarantee a minimum payout of a contract on a portfolio that gets rebalanced on a regular basis back to fixed proportions. The valuation of this premium can be changed to that of the pricing of a European put option with underlying rebalanced portfolio. This article finds the most efficient estimators for the value of this path-dependant multi-asset put option using different Monte Carlo methods. With the help of a refined method, computing time of the value decreased significantly. Furthermore, Variance Reduction Techniques and Quasi-Monte Carlo methods delivered more accurate and faster converging estimates as well.