Adaptive Monte Carlo algorithms for pricing European and American options
Publish place: The First National Conference on Mathematical Modeling and Computational Methods in Sciences and Engineering
Publish Year: 1398
نوع سند: مقاله کنفرانسی
زبان: English
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شناسه ملی سند علمی:
MMCM01_005
تاریخ نمایه سازی: 19 فروردین 1400
Abstract:
In this paper, a new adaptive Monte Carlo algorithm is proposed to solve the Black–Scholes model for European and American options. The proposed algorithm offers several advantages over the conventional and previous adaptive Monte Carlo algorithms. The corresponding properties of the algorithm are discussed and numerical experiments are presented which demonstrate the computational efficiency of the proposed algorithm. The results are also compared with other methods.
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Authors
Mahboubeh Aalaei
Assistant Professor, Insurance Research Center, Saadat Abad, Tehran, Iran