Adaptive Monte Carlo Algorithms For Pricing European and American Options
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DOR
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20.1001.2.9819137054.1398.1.1.70.0
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نویسنده
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- -
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منبع
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كنفرانس ملي مدلسازي رياضي و روشهاي محاسباتي در علوم و مهندسي - 1398 - دوره : 1 - اولین کنفرانس ملی مدلسازی ریاضی و روشهای محاسباتی در علوم و مهندسی - کد همایش: 98191-37054 - صفحه:1 -8
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چکیده
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In this paper, a new adaptive monte carlo algorithm is proposed to solve the black–scholes model for european and american options. the proposed algorithm offers several advantages over the conventional and previous adaptive monte carlo algorithms. the corresponding properties of the algorithm are discussed and numerical experiments are presented which demonstrate the computational efficiency of the proposed algorithm. the results are also compared with other methods.
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کلیدواژه
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Adaptive Monte Carlo Algorithms ,Black–Scholes Model ,American Option ,European Option
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آدرس
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Insurance Research Center, Saadat Abad, Iran
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پست الکترونیکی
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aalaei@irc.ac.ir
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