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An adaptive Monte Carlo algorithm for European and American options | ||
| Computational Methods for Differential Equations | ||
| مقالات آماده انتشار، پذیرفته شده، انتشار آنلاین از تاریخ 04 اردیبهشت 1400 اصل مقاله (732.2 K) | ||
| نوع مقاله: Research Paper | ||
| شناسه دیجیتال (DOI): 10.22034/cmde.2021.37369.1654 | ||
| نویسندگان | ||
Mahboubeh Aalaei  ؛ Mahnaz Manteqipour
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| Insurance Research Center, Saadat Abad, Tehran, Iran. | ||
| چکیده | ||
| Abstract. 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 size 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 | ||
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آمار تعداد مشاهده مقاله: 7 تعداد دریافت فایل اصل مقاله: 8 |
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