Least-Squares Monte Carlo Simulation for Time Value of Options and Guarantees Calculation
Least-Squares Monte Carlo Simulation for Time Value of Options and Guarantees Calculation
Author(s): Piotr Komański, Oskar SokolińskiSubject(s): Economy, Financial Markets
Published by: Uniwersytet Warszawski - Wydział Nauk Ekonomicznych
Keywords: TVOG; Pension Fund; LSMC; Nested Stochastic Simulations
Summary/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).
Journal: Ekonomia. Rynek, Gospodarka, Społeczeństwo
- Issue Year: 2015
- Issue No: 41
- Page Range: 81-93
- Page Count: 13
- Language: English