OPTION PRICING BY MULTILEVEL MONTE CARLO SIMULATION WITH NON-GEOMETRIC TIMESTEPS
Publish place: 3rd International Conference on Soft Computing
Publish Year: 1398
نوع سند: مقاله کنفرانسی
زبان: English
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شناسه ملی سند علمی:
CSCG03_181
تاریخ نمایه سازی: 14 فروردین 1399
Abstract:
Multi level Monte Carlo simulation that suggested by (M. B. Giles 2008) is an efficient method for variance reduction of estimators. He used Euler discretisation with geometric timesteps in his works. In this paper we use a method based on primary numbers to partition timesteps at each level. The numerical results show the efficiency of this method.
Keywords:
Monte Carlo simulation , Multi Level Monte Carlo , Variance Reduction Techniques , option pricing , Euler discretisation.
Authors
Somaye Grailoo Tanha
Esfarayen University of Technology, Esfarayen, North Khorasan, Iran;
Ayoob Salimipour
Department of Mathematics, Quchan University of Technology, Quchan, Iran