Least-Squares Monte Carlo Simulation for Time Value of Options and Guarantees Calculation

Oskar Sokoliński

Abstract


Article presents an application of least-squares Monte Carlo concept to calculation of Time Value of Options and Guarantees - Market Consistent Embedded Value component. Previously used in options' valuation method proved to be an effective and time-saving tool. Paper summarizes analysis performed on an theoretical Open Pension Fund portfolio (based on market average data).

References


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DOI: http://dx.doi.org/10.17451/eko/41/2015/93

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