Accelerated Simulation Scheme for Solving Financial Problems
Автор: Farshid Mehrdoust, Kianoush Fathi, Naghmeh Saber
Журнал: International Journal of Information Technology and Computer Science(IJITCS) @ijitcs
Статья в выпуске: 4 Vol. 6, 2014 года.
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The Monte Carlo simulation method uses random sampling to study properties of systems with components that behave in a random state. More precisely, the idea is to simulate on the computer the behavior of these systems by randomly generating the variables describing the behavior of their components. In this paper, we propose an efficient and reliable simulation scheme based on Monte Carlo algorithm and combining two variance reduction procedures. We simulate a European option price numerically using the proposed simulation scheme.
Monte Carlo Simulation, Option Pricing Variance Reduction, European Option
Короткий адрес: https://sciup.org/15012069
IDR: 15012069
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