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Proceedings ArticleDOI

Optimal search for parameters in Monte Carlo simulation for derivative pricing

Chuan-Ju Wang, +1 more
- pp 384-390
TLDR
A deterministic online algorithm and a randomized online algorithm to search for suitable parameter values in Monte Carlo simulation for derivative pricing which are needed to achieve desired precisions are provided.
Abstract: 
This paper provides a deterministic online algorithm and a randomized online algorithm to search for suitable parameter values in Monte Carlo simulation for derivative pricing which are needed to achieve desired precisions. This paper also gives the competitive ratios of the two algorithms and proves the optimality of the algorithms. Experimental results on the performance of the algorithms are presented and analyzed as well.

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Citations
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Journal ArticleDOI

A New Approach for Nonlinear Multivariable Fed-Batch Bioprocess Trajectory Tracking Control

M. Cecilia Fernández, +5 more
- 24 Mar 2018 - 
TL;DR: This paper proposes a new control law based on linear algebra that allows nonlinear path tracking in multivariable and complex systems and compares with other controllers from the literature, showing the better performance of the present approach.
Posted Content

Option Pricing via Multi-path Autoregressive Monte Carlo Approach

Wei-Cheng Chen, +1 more
- 15 Jun 2019 - 
TL;DR: This work proposes and design a multi-path option pricing approach via autoregression (AR) process and Monte Carlo Simulations (MCS), which learns and incorporates the price characteristics into AR process, and re-generates the price paths for options.
References
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Journal ArticleDOI

The Pricing of Options and Corporate Liabilities

Fischer Black, +1 more
- 01 May 1973 - 
TL;DR: In this paper, a theoretical valuation formula for options is derived, based on the assumption that options are correctly priced in the market and it should not be possible to make sure profits by creating portfolios of long and short positions in options and their underlying stocks.
Book

Options, Futures, and Other Derivatives

John Hull
TL;DR: The Black-Scholes analysis of stock option prices was used in this paper to model the behavior of stock prices and the Yield Curve of stock options, as well as the Black's model for option pricing.
Book

Monte Carlo Methods in Financial Engineering

Paul Glasserman
TL;DR: This paper presents a meta-modelling procedure that automates the very labor-intensive and therefore time-heavy and therefore expensive and expensive process of manually computing random numbers and random Variables.
Journal ArticleDOI

Martingales and stochastic integrals in the theory of continuous trading

J. Michael Harrison, +1 more
- 01 Aug 1981 - 
TL;DR: In this paper, a general stochastic model of a frictionless security market with continuous trading is developed, where the vector price process is given by a semimartingale of a certain class, and the general Stochastic integral is used to represent capital gains.
Journal ArticleDOI

Valuing American Options by Simulation: A Simple Least-Squares Approach

Francis A. Longstaff, +1 more
- 01 Jan 2001 - 
TL;DR: In this paper, a new approach for approximating the value of American options by simulation is presented, using least squares to estimate the conditional expected payoff to the optionholder from continuation.