Boyle options a monte carlo approach pdf
ثبت نشده
چکیده
Methods for pricing American options are binomial trees and other lattice. Phelim Boyle was among the first to propose using Monte Carlo simulation to study.Abstract. The Monte Carlo approach has proved to be a valuable and flexible.
منابع مشابه
Application of Monte Carlo Simulation in the Assessment of European Call Options
In this paper, the pricing of a European call option on the underlying asset is performed by using a Monte Carlo method, one of the powerful simulation methods, where the price development of the asset is simulated and value of the claim is computed in terms of an expected value. The proposed approach, applied in Monte Carlo simulation, is based on the Black-Scholes equation which generally def...
متن کاملOptions: a Monte Carlo Approach
This paper develops a Monte Carlo simulation method for solving option valuation problems. The method simulates the process generating the returns on the underlying asset and invokes the risk neutrality assumption to derive the value of the option. Techniques for improving the efficiency of the method are introduced. Some numerical examples are given to illustrate the procedure and additional a...
متن کاملQuasi-Monte Carlo Methods in Numerical Finance
1. Introduction This paper introduces and illustrates a new version of the Monte Carlo method that has attractive properties for the numerical valuation of derivatives. The traditional Monte Carlo method has proven to be a powerful and flexible tool for many types of derivatives calculations. Under the conventional approach pseudo-random numbers are used to evaluate the expression of interest. ...
متن کاملPricing Options Using Lattice Rules
There are many examples of option contracts in which the payoff depends on several stochastic variables. These options often can be priced by the valuation of multidimensional integrals. Quasi– Monte Carlo methods are an effective numerical tool for this task. We show that, when the dimensions of the problem are small (say, less than 10), a special type of quasi–Monte Carlo known as the lattice...
متن کاملPricing American Derivatives using Simulation: A Biased-Low Approach - Proceedings AFIR 2001 - Toronto, Canada
In Boyle et al. (2000) we propose a simulation method for pricing high-dimensional American style derivatives. The method exploits the uniformity property of the low discrepancy sequences so that the resulting biased high estimator can achieve higher rate of convergence of quasi-Monte Carlo method. In this paper, we extend this work by proposing another estimator that is biased low. It has the ...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
عنوان ژورنال:
دوره شماره
صفحات -
تاریخ انتشار 2015