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Author : Elias Iliadis
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (93 download)
Download or read book Pricing Barrier Options Using Monte Carlo Techniques written by Elias Iliadis and published by . This book was released on 2001 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Mark S. Joshi
Publisher :
ISBN 13 :
Total Pages : 15 pages
Book Rating : 4.:/5 (129 download)
Download or read book Using Monte Carlo Simulation and Importance Sampling to Rapidly Obtain Jump-Diffusion Prices of Continuous Barrier Options written by Mark S. Joshi and published by . This book was released on 2007 with total page 15 pages. Available in PDF, EPUB and Kindle. Book excerpt: The problem of pricing a continuous barrier option in a jump-diffusion model is studied. It is shown that via an effective combination of importance sampling and analytic formulas thatsubstantial speed ups can be achieved. These techniques are shown to be particularly effective for computing deltas.
Author : Pavel V. Shevchenko
Publisher :
ISBN 13 :
Total Pages : 30 pages
Book Rating : 4.:/5 (13 download)
Download or read book Valuation of Barrier Options Using Sequential Monte Carlo written by Pavel V. Shevchenko and published by . This book was released on 2015 with total page 30 pages. Available in PDF, EPUB and Kindle. Book excerpt: Sequential Monte Carlo (SMC) methods have successfully been used in many applications in engineering, statistics and physics. However, these are seldom used in financial option pricing literature and practice. This paper presents SMC method for pricing barrier options with continuous and discrete monitoring of the barrier condition. Under the SMC method, simulated asset values rejected due to barrier condition are re-sampled from asset samples that do not breach the barrier condition improving the efficiency of the option price estimator; while under the standard Monte Carlo many simulated asset paths can be rejected by the barrier condition making it harder to estimate option price accurately. We compare SMC with the standard Monte Carlo method and demonstrate that the extra effort to implement SMC when compared with the standard Monte Carlo is very little while improvement in price estimate can be significant. Both methods result in unbiased estimators for the price converging to the true value as 1/ sqrt{M}$, where $M$ is the number of simulations (asset paths). However, the variance of SMCestimator is smaller and does not grow with the number of time steps when compared to the standard Monte Carlo. In this paper we demonstrate that SMC can successfully be used for pricing barrier options. SMC can also be used for pricing other exotic options and also for cases with many underlying assets and additional stochastic factors such as stochastic volatility; we provide general formulas and references.
Author : Sheldon Ross
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (13 download)
Download or read book Efficient Monte Carlo Barrier Option Pricing When the Underlying Security Price Follows a Jump-Diffusion Process written by Sheldon Ross and published by . This book was released on 2013 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: We present efficient simulation procedures for pricing barrier options when the underlying security price follows a geometric Brownian motion with jumps. Metwally and Atiya [2002] developed a simulation approach for pricing knock-out options in the same setting, but no variance reduction was introduced. We improve upon Metwally and Atiya's method by innovative applications of well-known variance reduction techniques. We also show how to use simulation to price knock-in options. Numerical examples show that our proposed Monte Carlo procedures lead to substantial variance reduction as well as a reduction in computing time.
Author : Junling Hu
Publisher :
ISBN 13 :
Total Pages : 170 pages
Book Rating : 4.:/5 (891 download)
Download or read book Barrier Option Pricing Under SABR Model Using Monte Carlo Methods written by Junling Hu and published by . This book was released on 2013 with total page 170 pages. Available in PDF, EPUB and Kindle. Book excerpt: Abstract: The project investigates the prices of barrier options from the constant underlying volatility in the Black-Scholes model to stochastic volatility model in SABR framework. The constant volatility assumption in derivative pricing is not able to capture the dynamics of volatility. In order to resolve the shortcomings of the Black-Scholes model, it becomes necessary to find a model that reproduces the smile effect of the volatility. To model the volatility more accurately, we look into the recently developed SABR model which is widely used by practitioners in the financial industry. Pricing a barrier option whose payoff to be path dependent intrigued us to find a proper numerical method to approximate its price. We discuss the basic sampling methods of Monte Carlo and several popular variance reduction techniques. Then, we apply Monte Carlo methods to simulate the price of the down-and-out put barrier options under the Black-Scholes model and the SABR model as well as compare the features of these two models.
Author : Pokpong Chirayukool
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (921 download)
Download or read book The Valuation of Exotic Barrier Options and American Options Using Monte Carlo Simulation written by Pokpong Chirayukool and published by . This book was released on 2011 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Mark Suresh Joshi
Publisher :
ISBN 13 : 9780734035721
Total Pages : 14 pages
Book Rating : 4.0/5 (357 download)
Download or read book Using Monte Carlo Simulation and Importance Sampling to Rapidly Obtain Jump-diffusion Prices of Continuous Barrier Options written by Mark Suresh Joshi and published by . This book was released on 2006 with total page 14 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Simon Hatzesberger
Publisher :
ISBN 13 :
Total Pages : 76 pages
Book Rating : 4.:/5 (785 download)
Download or read book Unbiased Monte Carlo estimation for barrier option pricing written by Simon Hatzesberger and published by . This book was released on 2011 with total page 76 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Daniel Roth
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (133 download)
Download or read book Monte Carlo Methods: Barrier Option Pricing with Stable Greeks and Multilevel Monte Carlo Learning written by Daniel Roth and published by . This book was released on 2021 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Emmanuel Deogratias
Publisher : LAP Lambert Academic Publishing
ISBN 13 : 9783659362316
Total Pages : 124 pages
Book Rating : 4.3/5 (623 download)
Download or read book Methods for Pricing and Hedging Plain Vanilla Barrier Options written by Emmanuel Deogratias and published by LAP Lambert Academic Publishing. This book was released on 2013 with total page 124 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Black Scholes Model (1973) is used to price and hedge plain vanilla barrier options on a non dividend paying asset. Under this model, Monte Carlo Simulation, Stratified sampling, Simpson's rule, Trapezoidal rule and Antithetic variable techniques have been used to determine the value and hedging portfolio of a plain vanilla barrier option. Also stochastic dynamic programming has been developed so as to determine the price and hedging portfolio of the option. Finally the methods are compared to each other in terms of accuracy. It is found that stratified sampling technique is the best method after comparing with other methods.
Author : Thomas Gerstner
Publisher : World Scientific
ISBN 13 : 9814436429
Total Pages : 481 pages
Book Rating : 4.8/5 (144 download)
Download or read book Recent Developments in Computational Finance written by Thomas Gerstner and published by World Scientific. This book was released on 2013 with total page 481 pages. Available in PDF, EPUB and Kindle. Book excerpt: Computational finance is an interdisciplinary field which joins financial mathematics, stochastics, numerics and scientific computing. Its task is to estimate as accurately and efficiently as possible the risks that financial instruments generate. This volume consists of a series of cutting-edge surveys of recent developments in the field written by leading international experts. These make the subject accessible to a wide readership in academia and financial businesses. The book consists of 13 chapters divided into 3 parts: foundations, algorithms and applications. Besides surveys of existing results, the book contains many new previously unpublished results.
Author : Candice Natasha De Ponte
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (855 download)
Download or read book Pricing Barrier Options with Numerical Methods written by Candice Natasha De Ponte and published by . This book was released on 2013 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Barrier options -- Black-Scholes -- Binomial method -- Trinomial method -- Monte Carlo simulation -- Finite difference method.
Author : Candice Natasha De Ponte
Publisher :
ISBN 13 :
Total Pages : 220 pages
Book Rating : 4.:/5 (855 download)
Download or read book Pricing Barrier Options with Numerical Methods written by Candice Natasha De Ponte and published by . This book was released on 2013 with total page 220 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Ralf Korn
Publisher : CRC Press
ISBN 13 : 1420076191
Total Pages : 485 pages
Book Rating : 4.4/5 (2 download)
Download or read book Monte Carlo Methods and Models in Finance and Insurance written by Ralf Korn and published by CRC Press. This book was released on 2010-02-26 with total page 485 pages. Available in PDF, EPUB and Kindle. Book excerpt: Offering a unique balance between applications and calculations, Monte Carlo Methods and Models in Finance and Insurance incorporates the application background of finance and insurance with the theory and applications of Monte Carlo methods. It presents recent methods and algorithms, including the multilevel Monte Carlo method, the statistical Rom
Author : Padriac Walsh
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (264 download)
Download or read book Option Pricing Using Monte Carlo Simulation written by Padriac Walsh and published by . This book was released on 2006 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Charles J. Mode
Publisher : IntechOpen
ISBN 13 : 9789533074276
Total Pages : 440 pages
Book Rating : 4.0/5 (742 download)
Download or read book Applications of Monte Carlo Methods in Biology, Medicine and Other Fields of Science written by Charles J. Mode and published by IntechOpen. This book was released on 2011-02-28 with total page 440 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume is an eclectic mix of applications of Monte Carlo methods in many fields of research should not be surprising, because of the ubiquitous use of these methods in many fields of human endeavor. In an attempt to focus attention on a manageable set of applications, the main thrust of this book is to emphasize applications of Monte Carlo simulation methods in biology and medicine.
Author : Harald Niederreiter
Publisher : Springer Science & Business Media
ISBN 13 : 1461216907
Total Pages : 463 pages
Book Rating : 4.4/5 (612 download)
Download or read book Monte Carlo and Quasi-Monte Carlo Methods 1996 written by Harald Niederreiter and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 463 pages. Available in PDF, EPUB and Kindle. Book excerpt: Monte Carlo methods are numerical methods based on random sampling and quasi-Monte Carlo methods are their deterministic versions. This volume contains the refereed proceedings of the Second International Conference on Monte Carlo and Quasi-Monte Carlo Methods in Scientific Computing which was held at the University of Salzburg (Austria) from July 9--12, 1996. The conference was a forum for recent progress in the theory and the applications of these methods. The topics covered in this volume range from theoretical issues in Monte Carlo and simulation methods, low-discrepancy point sets and sequences, lattice rules, and pseudorandom number generation to applications such as numerical integration, numerical linear algebra, integral equations, binary search, global optimization, computational physics, mathematical finance, and computer graphics. These proceedings will be of interest to graduate students and researchers in Monte Carlo and quasi-Monte Carlo methods, to numerical analysts, and to practitioners of simulation methods.
