6 search results - page 1 / 2 » Efficiency Improvement by Lattice Rules for Pricing Asian Op... |
WSC
1998
13 years 6 months ago
1998
This paper compares Monte Carlo methods, lattice rules, and other low-discrepancy point sets on the problem of evaluating asian options. The combination of these methods with vari...
AMC
2005
13 years 4 months ago
2005
Financial options whose payoff depends critically on historical prices are called pathdependent options. Their prices are usually harder to calculate than options whose prices do ...
SODA
2004
ACM
13 years 6 months ago
2004
ACM
Asian options are path-dependent derivatives. How to price them efficiently and accurately has been a longstanding research and practical problem. Asian options can be priced on t...
WSC
1998
13 years 6 months ago
1998
When pricing options via Monte Carlo simulations, precision can be improved either by performing longer simulations, or by reducing the variance of the estimators. In this paper, ...
CSC
2006
13 years 6 months ago
2006
How to price options efficiently and accurately is an important research problem. Options can be priced by the lattice model. Although the pricing results converge to the theoreti...