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

页码：703 / +

页数：2

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