A Comparative Study on Barrier Option Pricing using Antithetic and Quasi Monte-Carlo Simulations
نویسندگان
چکیده
منابع مشابه
Option Pricing And Monte Carlo Simulations
The advantage of Monte Carlo simulations is attributed to the flexibility of their implementation. In spite of their prevalence in finance, we address their efficiency and accuracy in option pricing from the perspective of variance reduction and price convergence. We demonstrate that increasing the number of paths in simulations will increase computational efficiency. Moreover, using a t-test, ...
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In this paper, we apply a combined Monte Carlo and Quasi-Monte Carlo method, developed by us in a previous paper [31], to the evaluation of barrier options. We assume that the stock price of the underlying asset is driven by a Lévy process with independent increments distributed according to a NIG distribution. We also provide numerical results that compare our method with the Monte Carlo metho...
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W develop and study efficient Monte Carlo algorithms for pricing path-dependent options with the variance gamma model. The key ingredient is difference-of-gamma bridge sampling, based on the representation of a variance gamma process as the difference of two increasing gamma processes. For typical payoffs, we obtain a pair of estimators (named low and high) with expectations that (1) are monoto...
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.............................................................................................................................. 1 Acknowledgements ............................................................................................................. 2
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The pricing of options is a very important problem encountered in nancial markets today. The famous Black-Scholes model provides explicit closed form solutions for the values of certain (European style) call and put options. But for many other options, either there are no closed form solutions, or if such closed form solutions exist, the formulas exhibiting them are complicated and diicult to e...
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ژورنال
عنوان ژورنال: Journal of Mathematics and Statistics
سال: 2018
ISSN: 1549-3644
DOI: 10.3844/jmssp.2018.94.106