Middle East Technical University Institute of Applied Mathematics Seminars

Applications of the Central Limit Theorem for Pricing Cliquet-Style Options
Büşra Zeynep Temoçin
Institute of Applied Mathematics, Middle East Technical University, Turkey
Özet : Cliquet-style options in different variants are basic building blocks in select products which are offered by German life insurance companies. We present both an analytical pricing approximation via the central limit theorem and a corresponding control variate Monte Carlo approach for their valuation. The control variate approach turns out to be a good alternative to the integral representation of Bernard and Li (2013). Further, it can be modified to increase the efficiency of pricing cliquet-style options in the Heston price setting.
  Tarih : 19.02.2019
  Saat : 15:40
  Yer : Hayri Körezlioğlu Seminar Room, IAM
  Dil : English
  Web : http://iam.metu.edu.tr/event-calendars#colloquia