Title :
Efficient simulations for option pricing
Author_Institution :
Insdustrial Eng. & Manage. Services, Northwestern Univ., Evanston, IL, USA
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;
Conference_Titel :
Simulation Conference, 2003. Proceedings of the 2003 Winter
Print_ISBN :
0-7803-8131-9
DOI :
10.1109/WSC.2003.1261432
