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New Adaptive Monte Carlo algorithm to solve financial option pricing problems | ||
| Journal of Computational Statistics and Modeling | ||
| دوره 1، شماره 2، اسفند 2021، صفحه 139-151 اصل مقاله (286.63 K) | ||
| نوع مقاله: invited | ||
| شناسه دیجیتال (DOI): 10.22054/jcsm.2021.60573.1025 | ||
| نویسنده | ||
Mahboubeh Aalaei 
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| Insurance Research Center, Tehran, Iran | ||
| چکیده | ||
| In this paper, a new adaptive Monte Carlo algorithm is proposed to solve the systems of linear algebraic equations arising from the Black–Scholes model to price European and American options. The proposed algorithm offers several advantages over the conventional and previous adaptive Monte Carlo algorithms. The corresponding properties of the algorithm and Convergence theories are discussed and numerical experiments are presented which demonstrate the computational efficiency of the proposed algorithm. The results are also compared with other methods. | ||
| کلیدواژهها | ||
| Adaptive Monte Carlo algorithm Finite difference method Black– Scholes model؛ European and American option.&lrm | ||
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آمار تعداد مشاهده مقاله: 14 تعداد دریافت فایل اصل مقاله: 33 |
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