On the error in the Monte Carlo pricing of some familiar European path-dependent options

被引：0

作者：

Hörfelt, P ^{[1
]}

机构：

[1] Fraunhofer Chalmers Res Ctr Ind Math, SE-41288 Gothenburg, Sweden

来源：

MATHEMATICAL FINANCE | 2005年 / 15卷 / 02期

关键词：

option pricing; path-dependent options; Monte Carlo method; error estimates;

D O I：

10.1111/j.0960-1627.2005.00222.x

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This paper studies the relative error in the crude Monte Carlo pricing of some familiar European path-dependent multiasset options. For the crude Monte Carlo method it is well known that the convergence rate O(n(-1/2)), where n is the number of simulations, is independent of the dimension of the integral. This paper also shows that for a large class of pricing problems in the multiasset Black-Scholes market the constant in O( n(-1/2)) is independent of the dimension. To be more specific, the constant is only dependent on the highest volatility among the underlying assets, time to maturity, and degree of confidence interval.

引用

页码：345 / 357

页数：13

共 42 条

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