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

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Komański P., Sokoliński O.
Ekonomia. Rynek, Gospodarka, Społeczeństwo
|
2015
|
issue 41
81-93
EN
The 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 American-type options’ valuation, this method proved to be a very effective and time-saving tool. The paper summarizes analysis performed on the theoretical Open Pension Fund portfolio (based on Polish market average data).
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