Monte Carlo Bounds for Callable Products with Non-Analytic Break Costs
10 Pages Posted: 13 Jun 2006
Date Written: January 6, 2006
The pricing of callable derivative products with complicated pay-offs is studied. A new method for finding upper bounds by Monte Carlo simulation is introduced, this relies on modelling the callable product directly. The method has a wide range of applicability and is shown to be effective for Asian tail products.
Keywords: Monte Carlo, callable, upper bounds
JEL Classification: C19
Suggested Citation: Suggested Citation