Optimal search for parameters in Monte Carlo simulation for derivative pricing

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题名:	Optimal search for parameters in Monte Carlo simulation for derivative pricing
作者:	Wang, Chuan-Ju;王釧茹;Ming-YangKao
贡献者:	臺北市立大學資訊科學系
关键词:	Monte Carlo simulation;Deterministic online algorithm;Randomized online algorithm;Competitive ratio
日期:	2016-03-01
上传时间:	2019-02-14
摘要:	This paper provides a novel and general framework for the problem of searching parameter space in Monte Carlo simulations. We propose a deterministic online algorithm and a randomized online algorithm to search for suitable parameter values for derivative pricing which are needed to achieve desired precisions. We also give the competitive ratios of the two algorithms and prove the optimality of the algorithms. Experimental results on the performance of the algorithms are presented and analyzed as well.
關聯:	European Journal of Operational Research，Vol. 249(2)，P.683-690
显示于类别:	[資訊科學系] 期刊論文

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