On the error in the Monte Carlo pricing of some familiar European path-dependent options

被引:0
|
作者
Hörfelt, P [1 ]
机构
[1] Fraunhofer Chalmers Res Ctr Ind Math, SE-41288 Gothenburg, Sweden
关键词
option pricing; path-dependent options; Monte Carlo method; error estimates;
D O I
10.1111/j.0960-1627.2005.00222.x
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
This paper studies the relative error in the crude Monte Carlo pricing of some familiar European path-dependent multiasset options. For the crude Monte Carlo method it is well known that the convergence rate O(n(-1/2)), where n is the number of simulations, is independent of the dimension of the integral. This paper also shows that for a large class of pricing problems in the multiasset Black-Scholes market the constant in O( n(-1/2)) is independent of the dimension. To be more specific, the constant is only dependent on the highest volatility among the underlying assets, time to maturity, and degree of confidence interval.
引用
收藏
页码:345 / 357
页数:13
相关论文
共 50 条
  • [1] Pricing of path-dependent American options by Monte Carlo simulation
    Fujiwara, Hailme
    Kijima, Masaaki
    [J]. JOURNAL OF ECONOMIC DYNAMICS & CONTROL, 2007, 31 (11): : 3478 - 3502
  • [2] Importance sampling in Quasi-Monte Carlo pricing path-dependent options
    Gao, Xing
    Wang, Xiaoqun
    [J]. PROCEEDINGS OF THE SIXTH INTERNATIONAL CONFERENCE ON INFORMATION AND MANAGEMENT SCIENCES, 2007, 6 : 812 - 822
  • [3] Adaptive (Quasi-)Monte Carlo Methods for Pricing Path-Dependent Options
    Makarov, Roman N.
    [J]. MONTE CARLO AND QUASI-MONTE CARLO METHODS 2008, 2009, : 529 - 544
  • [4] Path-dependent options: Extending the Monte Carlo simulation approach
    Grant, D
    Vora, G
    Weeks, D
    [J]. MANAGEMENT SCIENCE, 1997, 43 (11) : 1589 - 1602
  • [5] Just-in-time Monte Carlo for path-dependent American options
    Dutt, Samir K.
    Welke, Gerd M.
    [J]. JOURNAL OF DERIVATIVES, 2008, 15 (04): : 29 - 47
  • [6] Efficient quasi-Monte simulations for pricing high-dimensional path-dependent options
    Sabino, Piergiacomo
    [J]. DECISIONS IN ECONOMICS AND FINANCE, 2009, 32 (01) : 49 - 65
  • [7] Pricing vulnerable path-dependent options using integral transforms
    Jeon, Junkee
    Yoon, Ji-Hun
    Kang, Myungjoo
    [J]. JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS, 2017, 313 : 259 - 272
  • [8] Pricing equity-indexed annuities with path-dependent options
    Lee, H
    [J]. INSURANCE MATHEMATICS & ECONOMICS, 2003, 33 (03): : 677 - 690
  • [9] Pricing and hedging path-dependent options under the CEV process
    Davydov, D
    Linetsky, V
    [J]. MANAGEMENT SCIENCE, 2001, 47 (07) : 949 - 965
  • [10] A new efficient simulation strategy for pricing path-dependent options
    Zhao, Gang
    Zhou, Yakun
    Vakili, Pirooz
    [J]. PROCEEDINGS OF THE 2006 WINTER SIMULATION CONFERENCE, VOLS 1-5, 2006, : 703 - +