A new efficient simulation strategy for pricing path-dependent options

被引：9
|
作者：
Zhao, Gang [1 ]
Zhou, Yakun [1 ]
Vakili, Pirooz [1 ]
机构：
[1] Boston Univ, Ctr Informat & Syst Engn, Dept Mfg Engn, Boston, MA 02446 USA
来源：
PROCEEDINGS OF THE 2006 WINTER SIMULATION CONFERENCE, VOLS 1-5 | 2006年
关键词：
D O I：
10.1109/WSC.2006.323149
中图分类号：
TP18 [人工智能理论];
学科分类号：
081104 ; 0812 ; 0835 ; 1405 ;
摘要：
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.
引用
收藏
页码：703 / +
页数：2
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