چکیده مقاله
Multi level Monte Carlo simulation that suggested by M B Giles 2008 is an efficient method for variance reduction of estimators He used Euler discretisation with geometric timesteps in his works In this paper we use a method based on primary numbers to partition timesteps at each level The numerical results show the efficiency of this method
کلیدواژهها
Monte Carlo simulation Variance Reduction Techniques option pricing Euler discretisation. Multi Level Monte Carlo Euler discretisation
نویسندگان
Somaye Grailoo Tanha
Esfarayen University of Technology, Esfarayen, North Khorasan, Iran;
Ayoob Salimipour
Department of Mathematics, Quchan University of Technology, Quchan, Iran
شیوه ارجاع
Grailoo Tanha, Somaye and Salimipour, Ayoob,1398,OPTION PRICING BY MULTILEVEL MONTE CARLO SIMULATION WITH NON-GEOMETRIC TIMESTEPS,3rd International Conference on Soft Computing,Rudsar
ارائهشده در
مجموعه مقالات سومین کنفرانس بین المللی محاسبات نرم29 آبان 1398 · رودسر