An adaptive Monte Carlo algorithm for European and American options
عنوان مقاله: An adaptive Monte Carlo algorithm for European and American options
شناسه ملی مقاله: JR_CMDE-10-2_015
منتشر شده در در سال 1401
شناسه ملی مقاله: JR_CMDE-10-2_015
منتشر شده در در سال 1401
مشخصات نویسندگان مقاله:
Mahboubeh Aalaei - Insurance Research Center, Saadat Abad, Tehran, Iran.
Mahnaz Manteqipour - Insurance Research Center, Saadat Abad, Tehran, Iran.
خلاصه مقاله:
Mahboubeh Aalaei - Insurance Research Center, Saadat Abad, Tehran, Iran.
Mahnaz Manteqipour - Insurance Research Center, Saadat Abad, Tehran, Iran.
In this paper, a new adaptive Monte Carlo algorithm is proposed to solve systems of linear algebraic equations (SLAEs). The corresponding properties of the algorithm and its advantages over the conventional and previous adaptive Monte Carlo algorithms are discussed and theoretical results are established to justify the convergence of the algorithm. Furthermore, the algorithm is used to solve the SLAEs obtained from finite difference method for the problem of European and American options pricing. Numerical tests are performed on examples with matrices of different sizes and on SLAEs coming from option pricing problems. Comparisons with standard numerical and stochastic algorithms are also done which demonstrate the computational efficiency of the proposed algorithm.
کلمات کلیدی: Adaptive Monte Carlo algorithm, finite difference method, Black Scholes model, European and American put option
صفحه اختصاصی مقاله و دریافت فایل کامل: https://civilica.com/doc/1595692/