Calculation aspects of the European rebalanced basket option using Monte Carlo methods : valuation

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dc.contributor.authorVan der Merwe, C. J.en_ZA
dc.contributor.authorConradie, W. J.en_ZA
dc.date.accessioned2013-07-03T08:19:41Z
dc.date.available2013-07-03T08:19:41Z
dc.date.issued2012
dc.descriptionCITATION: Van der Merwe, C. J. & Conradie, W. J. 2012. Calculation aspects of the European rebalanced basket option using Monte Carlo methods : valuation. Orion, 28(1):1-18, doi:10.5784/28-1-104.
dc.descriptionThe original publication is available at http://orion.journals.ac.za
dc.description.abstractExtra 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.
dc.description.urihttp://orion.journals.ac.za/pub/article/view/104
dc.description.versionPublisher's version
dc.format.extent18 pages
dc.identifier.citationVan der Merwe, C. J. & Conradie, W. J. 2012. Calculation aspects of the European rebalanced basket option using Monte Carlo methods : valuation. Orion, 28(1):1-18, doi:10.5784/28-1-104.
dc.identifier.issn2224-0004 (online)
dc.identifier.issn0259-191X (print)
dc.identifier.otherdoi:10.5784/28-1-104
dc.identifier.urihttp://hdl.handle.net/10019.1/82564
dc.language.isoen
dc.publisherOperations Research Society of South Africa
dc.rights.holderAuthors retain copyright
dc.subjectMonte Carlo methoden_ZA
dc.subjectStochastic processesen_ZA
dc.titleCalculation aspects of the European rebalanced basket option using Monte Carlo methods : valuationen_ZA
dc.typeArticleen_ZA
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