Efficient simulations for option pricing

Jeremy C Staum*

*Corresponding author for this work

Research output: Contribution to journalConference article

2 Scopus citations

Abstract

This paper presents an overview of techniques for improving the efficiency of option pricing simulations, including quasi-Monte Carlo methods, variance reduction, and methods for dealing with discretization error.

Original languageEnglish (US)
Pages (from-to)258-266
Number of pages9
JournalWinter Simulation Conference Proceedings
Volume1
StatePublished - Dec 1 2003
EventProceedings of the 2003 Winter Simulation Conference: Driving Innovation - New Orleans, LA, United States
Duration: Dec 7 2003Dec 10 2003

ASJC Scopus subject areas

  • Software
  • Modeling and Simulation
  • Safety, Risk, Reliability and Quality
  • Chemical Health and Safety
  • Applied Mathematics

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