• DocumentCode
    402140
  • Title

    Efficient simulations for option pricing

  • Author

    Staum, Jeremy

  • Author_Institution
    Insdustrial Eng. & Manage. Services, Northwestern Univ., Evanston, IL, USA
  • Volume
    1
  • fYear
    2003
  • fDate
    7-10 Dec. 2003
  • Firstpage
    258
  • Abstract
    This paper presents an overview of techniques for improving the efficiency of option pricing simulations, including quasi-Monte Carlo methods, variance reduction, and methods for dealing with discretization error.
  • Keywords
    Monte Carlo methods; pricing; risk analysis; simulation; discretization error; financial engineering; option pricing simulations; quasiMonte Carlo methods; variance reduction; Differential equations; Engineering management; Industrial engineering; Monitoring; Monte Carlo methods; Pricing; Q measurement; Risk management; Security; Stochastic processes;
  • fLanguage
    English
  • Publisher
    ieee
  • Conference_Titel
    Simulation Conference, 2003. Proceedings of the 2003 Winter
  • Print_ISBN
    0-7803-8131-9
  • Type

    conf

  • DOI
    10.1109/WSC.2003.1261432
  • Filename
    1261432
    • Link To Document
    https://search.isc.ac/dl/search/defaultta.aspx?DTC=49&DC=402140