Research Article
An Optimal Investment Strategy and Multiperiod Deposit Insurance Pricing Model for Commercial Banks
Algorithm 1
An algorithm for the Monte Carlo simulation method used to estimate
.While generating 1,000,000 sets, each consisting of a pair of sample paths for and on the interval , | DO | At each , where and are positive integers: | Calculate the payoff for each set consisting of the sample paths of and . | Using all the sets of sample paths of and , calculate the average of the payoffs as | a proxy to . | Discount the proxy to time zero by multiplying it by . | END | Sum the values of all the discounted proxies calculated at times , where . | Divide the sum of the discounted proxies by . |
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