کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
1139791 | 956695 | 2011 | 14 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Using the continuous price as control variate for discretely monitored options
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
سایر رشته های مهندسی
کنترل و سیستم های مهندسی
پیش نمایش صفحه اول مقاله
![عکس صفحه اول مقاله: Using the continuous price as control variate for discretely monitored options Using the continuous price as control variate for discretely monitored options](/preview/png/1139791.png)
چکیده انگلیسی
Variance reduction is of highest importance in financial simulation. In this study, we present a new and simple variance reduction technique for pricing discretely monitored lookback and barrier options. It is based on using the corresponding continuously monitored option as external control variate. To obtain the value of the continuously monitored price both, conditional simulation and conditional expectation can be utilized. From numerical experiments we can conclude that the efficiency gains obtained by our new method are significant.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Mathematics and Computers in Simulation - Volume 82, Issue 4, December 2011, Pages 691–704
Journal: Mathematics and Computers in Simulation - Volume 82, Issue 4, December 2011, Pages 691–704
نویسندگان
Kemal Dinçer Dingeç, Wolfgang Hörmann,