Radial basis functions for option pricing in insurance liabilities

This thesis discusses the valuation of embedded options in insurance liabilities using radial basis functions. For insurance companies, the valuation of embedded options is an important topic within risk management. This valuation can become too computationally heavy when nested Monte Carlo simulations are used. To overcome this computational...

Reduction of Computing Time for Numerical Pricing of European Multi-dimensional Options based on the COS Method

Numerical integration methods such as the Fourier-based COS method can be used for effciently and accurately pricing financial products. The COS method can be applied to options on one underlying stock as well as on multiple underlying stocks. However, this method suffers from an exponential increase in computational complexity as the dimensions...