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Pricing Risk through Simulation: Revisiting Tilley Bundling and Least Squares Monte Carlo Method

Pricing Risk through Simulation: Revisiting Tilley Bundling and Least Squares Monte Carlo Method This abstract describes work that revisits Tilley’s approach to approximating the value of a ...
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Description: This abstract describes work that revisits Tilley’s approach to approximating the value of a derivative through simulation and compares it to the Least Squares Monte Carlo Method developed by Longstaff and Schwartz.
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- Authors: Dominic Cortis
- Date: Feb 2014
- Competency: External Forces & Industry Knowledge
- Topics: Finance & Investments

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Pricing Risk through Simulation: Revisiting Tilley Bundling and Least Squares Monte Carlo Method