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Showing 1 to 4 of 4 for “"Least Squares Monte Carlo Method"”.
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Pricing a Bermudan option under the constant elasticity of variance model
… computational efficiency and accuracy of three methodologies in the pricing of a Bermudan option, under the constant elasticity of variance (CEV) model. The pricing methods considered are the finite difference method, least squares Monte Carlo method and recursive marginal quantization (RMQ) …
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A Review of Multilevel Monte Carlo Methods
The Monte Carlo method (MC) is a common numerical technique used to approximate an expectation that does not have an analytical solution. For certain problems, MC can be inefficient. Many techniques exist to improve the efficiency of MC methods. The Multilevel Monte Carlo (ML) technique developed …
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The Design of Resilient Engineering Infrastructure Systems
… to form a strategic view for resilience. Further methods from resilience and engineering design literature were then consulted to understand how this particular view could be modelled and evaluated. This led to the development of a preliminary model using the Least Squares Monte Carlo method …