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فهرست نشریات دارای اعتبار وزارت علوم، تحقیقات و فناوری
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Aalaei, Mahboubeh, Manteqipour, Mahnaz. (1401). An adaptive Monte Carlo algorithm for European and American options. سامانه مدیریت نشریات علمی, 10(2), 489-501. doi: 10.22034/cmde.2021.37369.1654
Mahboubeh Aalaei; Mahnaz Manteqipour. "An adaptive Monte Carlo algorithm for European and American options". سامانه مدیریت نشریات علمی, 10, 2, 1401, 489-501. doi: 10.22034/cmde.2021.37369.1654
Aalaei, Mahboubeh, Manteqipour, Mahnaz. (1401). 'An adaptive Monte Carlo algorithm for European and American options', سامانه مدیریت نشریات علمی, 10(2), pp. 489-501. doi: 10.22034/cmde.2021.37369.1654
Aalaei, Mahboubeh, Manteqipour, Mahnaz. An adaptive Monte Carlo algorithm for European and American options. سامانه مدیریت نشریات علمی, 1401; 10(2): 489-501. doi: 10.22034/cmde.2021.37369.1654

An adaptive Monte Carlo algorithm for European and American options

Computational Methods for Differential Equations
مقاله 15، دوره 10، شماره 2، تیر 2022، صفحه 489-501    اصل مقاله (495.34 K)
نوع مقاله: Research Paper
شناسه دیجیتال (DOI): 10.22034/cmde.2021.37369.1654
نویسندگان
Mahboubeh Aalaei* ؛ Mahnaz Manteqipour
Insurance Research Center, Saadat Abad, Tehran, Iran.
چکیده
In this paper, a new adaptive Monte Carlo algorithm is proposed to solve systems of linear algebraic equations (SLAEs). The corresponding properties of the algorithm and its advantages over the conventional and previous adaptive Monte Carlo algorithms are discussed and theoretical results are established to justify the convergence of the algorithm. Furthermore, the algorithm is used to solve the SLAEs obtained from finite difference method for the problem of European and American options pricing. Numerical tests are performed on examples with matrices of different sizes and on SLAEs coming from option pricing problems. Comparisons with standard numerical and stochastic algorithms are also done which demonstrate the computational efficiency of the proposed algorithm. 
کلیدواژه‌ها
Adaptive Monte Carlo algorithm؛ Finite difference method؛ Black Scholes model؛ European and American put option
مراجع
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