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;Ming-YangKao
Contributors:	臺北市立大學資訊科學系
Keywords:	Monte Carlo simulation;Deterministic online algorithm;Randomized online algorithm;Competitive ratio
Date:	2016-03-01
Issue Date:	2019-02-14
Abstract:	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.
Relation:	European Journal of Operational Research，Vol. 249(2)，P.683-690
Appears in Collections:	[Department of Computer Science] Periodical Articles

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