School Seminars and Colloquia

Early exercise and Monte Carlo obtaining tight bounds

Stochastic Processes Seminar

by Mark Joshi

Institution: Centre for Actuarial Studies, The University of Melbourne
Date: Thu 2nd February 2006
Time: 1:15 PM
Location: Room 213, Richard Berry Building, The University of Melbourne

Abstract: We examine the problem of pricing Bermudan options in a Monte Carlo
model. We focus mainly on upper bounds but also examine methods of
developing improved lower bounds. In particular, we show how to
obtain tight bounds on the price of callable derivatives with
non-analytic exercise values by reinterpreting Rogers method in terms
of the seller's price.

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