کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5143537 1379156 2017 16 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Implementation of the modified Monte Carlo simulation for evaluate the barrier option prices
موضوعات مرتبط
مهندسی و علوم پایه شیمی شیمی (عمومی)
پیش نمایش صفحه اول مقاله
Implementation of the modified Monte Carlo simulation for evaluate the barrier option prices
چکیده انگلیسی
In this paper, we apply an improved version of Monte Carlo methods to pricing barrier options. This kind of options may match with risk hedging needs more closely than standard options. Barrier options behave like a plain vanilla option with one exception. A zero payoff may occur before expiry, if the option ceases to exist; accordingly, barrier options are cheaper than similar standard vanilla options. We apply a new Monte Carlo method to compute the prices of single and double barrier options written on stocks. The basic idea of the new method is to use uniformly distributed random numbers and an exit probability in order to perform a robust estimation of the first time the stock price hits the barrier. Using uniformly distributed random numbers decreases the estimation of first hitting time error in comparison with standard Monte Carlo or similar methods. It is numerically shown that the answer of our method is closer to the exact value and the first hitting time error is reduced.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Taibah University for Science - Volume 11, Issue 2, March 2017, Pages 233-240
نویسندگان
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