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

• Autorzy: Piotr Komański , Oskar Sokoliński
• Języki publikacji: EN

Abstrakty

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). (original abstract)

Słowa kluczowe

EN

Monte Carlo simulation; Options; Pension funds

PL

Symulacja Monte Carlo; Opcje; Fundusze emerytalne

• Czasopismo: Ekonomia / Uniwersytet Warszawski
• Rocznik: 2015
• Numer: nr 41
• Strony: 81--93

Twórcy

autor

Piotr Komański

autor

Oskar Sokoliński

• University of Warsaw

Bibliografia

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