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 language | English (US) |
|---|---|
| Pages (from-to) | 258-266 |
| Number of pages | 9 |
| Journal | Winter Simulation Conference Proceedings |
| Volume | 1 |
| State | Published - Dec 1 2003 |
| Event | Proceedings of the 2003 Winter Simulation Conference: Driving Innovation - New Orleans, LA, United States Duration: Dec 7 2003 → Dec 10 2003 |
ASJC Scopus subject areas
- Software
- Modeling and Simulation
- Safety, Risk, Reliability and Quality
- Chemical Health and Safety
- Applied Mathematics