Monte Carlo Simulation with Variance Reduction Methods for Chained Option
Journal Title: International Journal of Mathematics and Statistics Invention - Year 2017, Vol 5, Issue 4
Abstract
Monte Carlo simulation with the variance reduction methods is generally more efficient than general Monte Carlo simulation because variance reduction method causes small standard deviation. In this paper, we compare two simulation methods for the barrier option called chained option and confirmed that Monte Carlo simulation used the variance reduction method is also more efficient than general Monte Carlo simulation.
Authors and Affiliations
Doobae Jun
Keywords
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