Robert Tang

University of Melbourne - Centre for Actuarial Studies

Melbourne, 3010

Australia

SCHOLARLY PAPERS

4

DOWNLOADS
Rank 11,220

SSRN RANKINGS

Top 11,220

in Total Papers Downloads

4,136

CITATIONS
Rank 24,898

SSRN RANKINGS

Top 24,898

in Total Papers Citations

17

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 1,959 (7,358)
Citation 4

Abstract:

Loading...

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 1,246 (15,307)
Citation 10

Abstract:

Loading...

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 542 (49,327)
Citation 1

Abstract:

Loading...

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 389 (74,190)
Citation 6

Abstract:

Loading...