Randomized quasi--Monte Carlo methods in pricing securities

Article Abstract:

A number of randomized quasi-Monte Carlo methods are used by researchers as an alternative to the Monte Carlo method. These methods are surveyed and their efficiencies are compared with the efficiency of the Monte Carlo method when analyzing the pricing of certain securities. The adverse effects of high dimensionality to the quasi-Monte Carlo method can be reduced by applying techniques to reduce the effective dimension of the problem.

Economics, Economic theory

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Monte Carlo methods for security pricing

Article Abstract:

The use of the Monte Carlo method in computational finance may be extended to include solutions to security pricing problems with emphasis on efficiency. The study reveals that pricing American-type securities may be done by determining optimal decision which, in turn, may be done by using simulation to solve high dimension problems and by using the resulting multiple state variables.

Security brokers and dealers, Securities Brokerage, Securities Trading, Prices and rates, Stock options, Securities industry, Valuation, Monte Carlo method, Monte Carlo methods

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The simple analytics of optimal growth with illegal migrants

Article Abstract:

The authors show how illegal migrant labor reduces domestic consumption.

Australia, Influence, Consumption (Economics), Illegal immigrants, Migrant labor, Migrant labour

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