Simulation Methods For Option Pricing

Result code in IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F03%3A00008994" target="_blank" >RIV/61989100:27510/03:00008994 - isvavai.cz</a>

Result on the web

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DOI - Digital Object Identifier

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Result language

angličtina

Original language name

Simulation Methods For Option Pricing

Original language description

Using simulation is a new approach for option pricing and pricing of other derivatives. Monte-Carlo methods are an alternative approaches to analytical pricing models (Black-Scholes model). This paper deals with basic analysis of the Monte-Carlo approachand its extensions for option pricing with using antithetic variables technique and Quasi Monte-Carlo. In this paper Monte-Carlo and Quasi Monte-Carlo option pricing process is described. Theoretical results are confirmed by application of evaluating European call options and simulations results are compared with analytical results..

Czech name

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Czech description

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Type

J_x - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)

CEP classification

AH - Economics

OECD FORD branch

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Project

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Continuities

Z - Vyzkumny zamer (s odkazem do CEZ)

Publication year

2003

Confidentiality

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Name of the periodical

ECON ´03

ISSN

0862-7908

e-ISSN

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Volume of the periodical

10

Issue of the periodical within the volume

1

Country of publishing house

CZ - CZECH REPUBLIC

Number of pages

7

Pages from-to

10-16

UT code for WoS article

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EID of the result in the Scopus database

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