Optimal Search for Parameters in Monte Carlo Simulation for Derivative Pricing

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Title:	Optimal Search for Parameters in Monte Carlo Simulation for Derivative Pricing
Authors:	Wang, Chuan-Ju;王釧茹;Kao, Ming-Yang
Contributors:	臺北市立大學資訊科學系
Date:	2014-03
Issue Date:	2019-02-14
Abstract:	This paper provides a deterministic online algorithm and a randomized online algorithm to search for suitable parameter values in Monte Carlo simulation for derivative pricing which are needed to achieve desired precisions. This paper also gives the competitive ratios of the two algorithms and proves the optimality of the algorithms. Experimental results on the performance of the algorithms are presented and analyzed as well.
Relation:	the IEEE Conference on Computational Intelligence for Financial Engineering & Economics (CIFEr’14)，London，2014/03/27~28
Appears in Collections:	[Department of Computer Science] Proceedings

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