DocumentCode
1804206
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
fYear
2006
fDate
3-6 Dec. 2006
Firstpage
703
Lastpage
710
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;
fLanguage
English
Publisher
ieee
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
Type
conf
DOI
10.1109/WSC.2006.323149
Filename
4117673
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