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Valuing American Options in a Path Simulation Model
Valuing American Options in a Path Simulation Model The goal of this paper is to dispel the prevailing belief that American-style options cannot be valued efficiently in a simulation model by ...- Authors: James A Tilley
- Date: Oct 1993
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Transactions of the SOA
- Topics: Finance & Investments>Derivatives; Modeling & Statistical Methods>Dynamic simulation models
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Valuing American Options in a Path Simulation Model
Valuing American Options in a Path Simulation Model This paper presents an algorithm for valuing American options in a path simulation model. It demonstrates the accuracy by an example involving ...- Authors: James A Tilley
- Date: Jan 1999
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Finance & Investments>Derivatives; Modeling & Statistical Methods>Dynamic simulation models
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An Actuarial Layman's Guide to Building Stochastic Interest Rate Generators
An Actuarial Layman's Guide to Building Stochastic Interest Rate Generators This paper, originally published in 1992 in the Transactions of Society of Actuaries Vol. 44, deals with a topic ...- Authors: Michael F Davlin, Merlin F Jetton, James A Tilley, Hal Warren Pedersen
- Date: Oct 1992
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Topics: Economics>Financial economics; Modeling & Statistical Methods>Stochastic models
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The Matching of Assets and Liabilities
The Matching of Assets and Liabilities This paper investigates how the concepts of asset-liability matching can be used to shape investment strategy. From Transactions of Society of Actuaries ...- Authors: James A Tilley
- Date: Jan 1980
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Transactions of the SOA
- Topics: Finance & Investments>Asset liability management; Finance & Investments>Investment strategy - Finance & Investments; Modeling & Statistical Methods
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The Investment Process and Present Value Calculations
The Investment Process and Present Value Calculations After reading the Panjer-Bellhouse paper in the Proceedings of the Ball State University Conference, I wondered whether their technique could ...- Authors: James A Tilley
- Date: Jan 1980
- Competency: External Forces & Industry Knowledge>Actuarial methods in business operations; Professional Values>Practice expertise
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments>Investments; Modeling & Statistical Methods>Stochastic models
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An Actuarial Layman's Guide to Building Stochastic Interest Rate Generators
An Actuarial Layman's Guide to Building Stochastic Interest Rate Generators Without relying on formulas, this paper presents the important concepts underlying the theory of arbitrage-free ...- Authors: James A Tilley
- Date: Oct 1992
- Competency: Technical Skills & Analytical Problem Solving>Process and technique refinement
- Publication Name: Transactions of the SOA
- Topics: Modeling & Statistical Methods>Stochastic models