Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
9663903 | European Journal of Operational Research | 2005 | 9 Pages |
Abstract
The main results can be summarized as follows. The choice of a high order of convergence scheme is not fully justified because the option prices computed via calibration method are not sensitive to the use of a scheme with 2.0 order of convergence or greater. The refining of the approximation rule for the integral, on the contrary, allows to compute option prices that are often closer to market prices. In conclusion, a number of 10Â 000 simulations seems to be sufficient to compute the option price and a higher number can only slow down the numerical procedure.
Related Topics
Physical Sciences and Engineering
Computer Science
Computer Science (General)
Authors
Maria Letizia Guerra, Laerte Sorini,