Robert Tang

University of Melbourne - Centre for Actuarial Studies

Melbourne, 3010

Australia

SCHOLARLY PAPERS

4

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SSRN CITATIONS
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Top 47,306

in Total Papers Citations

7

CROSSREF CITATIONS

6

Scholarly Papers (4)

1.

Trinomial or Binomial: Accelerating American Put Option Price on Trees

Number of pages: 18 Posted: 02 Sep 2008
University of Melbourne - Centre for Actuarial Studies, University of Melbourne - Centre for Actuarial Studies (deceased), University of Melbourne - Centre for Actuarial Studies and Origin Energy
Downloads 2,026 (8,346)

Abstract:

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binomial tree, trinomial tree, American put option, speed

2.

Practical Policy Iteration: Generic Methods for Obtaining Rapid and Tight Bounds for Bermudan Exotic Derivatives Using Monte Carlo Simulation

Number of pages: 26 Posted: 23 Jan 2009 Last Revised: 22 Mar 2013
University of Melbourne - Centre for Actuarial Studies, University of Melbourne - Centre for Actuarial Studies (deceased) and University of Melbourne - Centre for Actuarial Studies
Downloads 1,264 (17,605)
Citation 10

Abstract:

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Bermudan option, LIBOR market model, early exercise, Monte Carlo

3.

Pricing and Deltas of Discretely-Monitored Barrier Options Using Stratified Sampling on the Hitting-Times to the Barrier

Number of pages: 25 Posted: 30 Jul 2009
Mark S. Joshi and Robert Tang
University of Melbourne - Centre for Actuarial Studies (deceased) and University of Melbourne - Centre for Actuarial Studies
Downloads 569 (53,757)

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first-hitting time, passage times, hitting-times, barrier, discretely-monitored, inverse Gaussian, stratified sampling, Monte-Carlo

4.

Effective Sub-Simulation-Free Upper Bounds for the Monte Carlo Pricing of Callable Derivatives and Various Improvements to Existing Methodologies

Number of pages: 47 Posted: 29 Jun 2012 Last Revised: 14 May 2013
Mark S. Joshi and Robert Tang
University of Melbourne - Centre for Actuarial Studies (deceased) and University of Melbourne - Centre for Actuarial Studies
Downloads 395 (83,997)
Citation 4

Abstract:

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