Title :
A New Efficient Simulation Strategy for Pricing Path-Dependent Options
Author :
Zhao, Gang ; Zhou, Yakun ; Vakili, Pirooz
Author_Institution :
Dept. of Manuf. Eng., Boston Univ., MA
Abstract :
The purpose of this paper is twofold. First, it serves to describe a new strategy, called structured database Monte Carlo (SDMC), for efficient Monte Carlo simulation. Its second aim is to show how this approach can be used for efficient pricing of path-dependent options via simulation. We use efficient simulation of a sample of path-dependent options to illustrate the application of SDMC. Extensions to other path-dependent options are straightforward
Keywords :
Monte Carlo methods; pricing; share prices; Monte Carlo simulation; path-dependent options pricing; structured database Monte Carlo; Algorithm design and analysis; Books; Databases; Modeling; Monte Carlo methods; Parameter estimation; Pricing; Sampling methods; Systems engineering and theory; Virtual manufacturing;
Conference_Titel :
Simulation Conference, 2006. WSC 06. Proceedings of the Winter
Conference_Location :
Monterey, CA
Print_ISBN :
1-4244-0500-9
Electronic_ISBN :
1-4244-0501-7
DOI :
10.1109/WSC.2006.323149
