منابع مشابه
Sequential Monte Carlo Methods for Option Pricing
In the following paper, we provide a review and development of sequential Monte Carlo (SMC) methods ([17, 18, 24]) for option pricing. SMC are a class of Monte Carlo-based algorithms, that are designed to approximate expectations w.r.t a sequence of related probability measures. These approaches have been used, successfully, for a wide class of applications in engineering, statistics and physic...
متن کاملOption 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, ...
متن کاملGenetic Programming with Monte Carlo Simulation for Option Pricing
I examine the role of programming parameters in determining the accuracy of Genetic Programming for option pricing. I use Monte Carlo simulations to generate stock and option price data needed to develop a Genetic Option Pricing Program. I simulate data for two different stock price processes – a Geometric Brownian process and a JumpDiffusion process. In the jump-diffusion setting, I seed the G...
متن کاملMonte Carlo Simulation for Pricing European and American Basket option
Examples of the analytical approximations are provided in Milevsky and Posner 1998 [3] and [4] who compare the relative accuracy of the lognormal or the inverse gamma distribution for approximating the sum of lognormal distributions. Tree based methods were originally proposed by Cox et al 1979 [2] and adopted in Wan 2002 [5]. Monte Carlo methods were first proposed by Boyle 1977 [1] as an alte...
متن کاملSensitivity Analysis for Monte Carlo Simulation of Option Pricing
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: SSRN Electronic Journal
سال: 2019
ISSN: 1556-5068
DOI: 10.2139/ssrn.3360332