New ‎Adaptive Monte Carlo algorithm ‎t‎o solve ‎financial‎ option ‎pricing problems‎

Publish Year: 1400
نوع سند: مقاله ژورنالی
زبان: English
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شناسه ملی سند علمی:

JR_JCSM-1-2_008

تاریخ نمایه سازی: 18 بهمن 1400

Abstract:

In this paper, a new adaptive Monte Carlo algorithm is proposed to solve ‎the ‎systems ‎of ‎linear ‎algebraic ‎equations ‎arising ‎from‎ the Black–Scholes model ‎to ‎price‎ 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 ‎and ‎Convergence ‎theories‎ are discussed and numerical experiments are presented which demonstrate the computational efficiency of the proposed algorithm.‎‎ The results are also compared with other methods.

Keywords:

Adaptive Monte Carlo algorithm‎ Finite difference method‎ Black– Scholes model‎ , ‎ European and American ‎ option.&lrm

Authors

Mahboubeh Aalaei

Insurance Research Center, Tehran, Iran