Examination of selected improvement approaches to Monte Carlo simulation in option pricing
نویسندگان
چکیده
منابع مشابه
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Monte Carlo simulation is one alternative for analyzing options markets when the assumptions of simpler analytical models are violated. We introduce techniques for the sensitivity analysis of option pricing which can be efficiently carried out in the simulation. In particular, using these techniques, a single run of the simulation would often provide not only an estimate of the option value but...
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ژورنال
عنوان ژورنال: Politická ekonomie
سال: 2008
ISSN: 0032-3233,2336-8225
DOI: 10.18267/j.polek.663