2 papers
q-fin.PR2024
Denoised Monte Carlo for option pricing and Greeks estimation
Andrzej Daniluk, Evgeny Lakshtanov, Rafal Muchorski
We present a novel technique of Monte Carlo error reduction that finds direct application in option pricing and Greeks estimation. The method is applicable to any LSV modelling fra…
q-fin.CP2015
Approximations of Bond and Swaption Prices in a Black-Karasiński Model
Andrzej Daniluk, Rafał Muchorski
We derive semi-analytic approximation formulae for bond and swaption prices in a Black-Karasiński interest rate model. Approximations are obtained using a novel technique based on…