Optimal search for parameters in Monte Carlo simulation for derivative pricing

DOI10.1016/j.ejor.2015.08.060zbMath1346.91259OpenAlexW1478952487MaRDI QIDQ321025

Chuan-Ju Wang, Ming-Yang Kao

Publication date: 7 October 2016

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2015.08.060

zbMATH Keywords

Monte Carlo simulationcompetitive ratiofinancedeterministic online algorithmrandomized online algorithm

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (1)

FINITE DIFFERENCE METHOD FOR THE TWO-DIMENSIONAL BLACK-SCHOLES EQUATION WITH A HYBRID BOUNDARY CONDITION

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