Monte Carlo Bounds for Callable Products with Non-Analytic Break Costs

10 Pages Posted: 13 Jun 2006

See all articles by Mark S. Joshi

Mark S. Joshi

University of Melbourne - Centre for Actuarial Studies (deceased)

Date Written: January 6, 2006

Abstract

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

Joshi, Mark, Monte Carlo Bounds for Callable Products with Non-Analytic Break Costs (January 6, 2006). Available at SSRN: https://ssrn.com/abstract=907407 or http://dx.doi.org/10.2139/ssrn.907407

Mark Joshi (Contact Author)

University of Melbourne - Centre for Actuarial Studies (deceased) ( email )

Melbourne, 3010
Australia

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