Optimal search for parameters in Monte Carlo simulation for derivative pricing

Chuan Ju Wang*, Ming-Yang Kao

*Corresponding author for this work

Research output: Chapter in Book/Report/Conference proceedingConference contribution

2 Citations (Scopus)

Abstract

This paper provides a deterministic online algorithm and a randomized online algorithm to search for suitable parameter values in Monte Carlo simulation for derivative pricing which are needed to achieve desired precisions. This paper also gives the competitive ratios of the two algorithms and proves the optimality of the algorithms. Experimental results on the performance of the algorithms are presented and analyzed as well.

Original languageEnglish (US)
Title of host publication2014 IEEE Conference on Computational Intelligence for Financial Engineering and Economics, CIFEr Proceedings
EditorsRui Jorge Almeida, Dietmar Maringer, Vasile Palade, Antoaneta Serguieva
PublisherInstitute of Electrical and Electronics Engineers Inc.
Pages384-390
Number of pages7
ISBN (Electronic)9781479923809
DOIs
StatePublished - Oct 14 2014
Event2014 IEEE Conference on Computational Intelligence for Financial Engineering and Economics, CIFEr 2014 - London, United Kingdom
Duration: Mar 27 2014Mar 28 2014

Publication series

NameIEEE/IAFE Conference on Computational Intelligence for Financial Engineering, Proceedings (CIFEr)

Other

Other2014 IEEE Conference on Computational Intelligence for Financial Engineering and Economics, CIFEr 2014
CountryUnited Kingdom
CityLondon
Period3/27/143/28/14

Fingerprint

Pricing
Monte Carlo Simulation
Online Algorithms
Derivatives
Derivative
Costs
Competitive Ratio
Deterministic Algorithm
Randomized Algorithms
Optimality
Experimental Results
Monte Carlo simulation
Derivative pricing
Online algorithms
Competitive ratio

ASJC Scopus subject areas

  • Computer Science Applications
  • Artificial Intelligence
  • Software
  • Applied Mathematics
  • Finance

Cite this

Wang, C. J., & Kao, M-Y. (2014). Optimal search for parameters in Monte Carlo simulation for derivative pricing. In R. J. Almeida, D. Maringer, V. Palade, & A. Serguieva (Eds.), 2014 IEEE Conference on Computational Intelligence for Financial Engineering and Economics, CIFEr Proceedings (pp. 384-390). [6924099] (IEEE/IAFE Conference on Computational Intelligence for Financial Engineering, Proceedings (CIFEr)). Institute of Electrical and Electronics Engineers Inc.. https://doi.org/10.1109/CIFEr.2014.6924099
Wang, Chuan Ju ; Kao, Ming-Yang. / Optimal search for parameters in Monte Carlo simulation for derivative pricing. 2014 IEEE Conference on Computational Intelligence for Financial Engineering and Economics, CIFEr Proceedings. editor / Rui Jorge Almeida ; Dietmar Maringer ; Vasile Palade ; Antoaneta Serguieva. Institute of Electrical and Electronics Engineers Inc., 2014. pp. 384-390 (IEEE/IAFE Conference on Computational Intelligence for Financial Engineering, Proceedings (CIFEr)).
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Wang, CJ & Kao, M-Y 2014, Optimal search for parameters in Monte Carlo simulation for derivative pricing. in RJ Almeida, D Maringer, V Palade & A Serguieva (eds), 2014 IEEE Conference on Computational Intelligence for Financial Engineering and Economics, CIFEr Proceedings., 6924099, IEEE/IAFE Conference on Computational Intelligence for Financial Engineering, Proceedings (CIFEr), Institute of Electrical and Electronics Engineers Inc., pp. 384-390, 2014 IEEE Conference on Computational Intelligence for Financial Engineering and Economics, CIFEr 2014, London, United Kingdom, 3/27/14. https://doi.org/10.1109/CIFEr.2014.6924099

Optimal search for parameters in Monte Carlo simulation for derivative pricing. / Wang, Chuan Ju; Kao, Ming-Yang.

2014 IEEE Conference on Computational Intelligence for Financial Engineering and Economics, CIFEr Proceedings. ed. / Rui Jorge Almeida; Dietmar Maringer; Vasile Palade; Antoaneta Serguieva. Institute of Electrical and Electronics Engineers Inc., 2014. p. 384-390 6924099 (IEEE/IAFE Conference on Computational Intelligence for Financial Engineering, Proceedings (CIFEr)).

Research output: Chapter in Book/Report/Conference proceedingConference contribution

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Wang CJ, Kao M-Y. Optimal search for parameters in Monte Carlo simulation for derivative pricing. In Almeida RJ, Maringer D, Palade V, Serguieva A, editors, 2014 IEEE Conference on Computational Intelligence for Financial Engineering and Economics, CIFEr Proceedings. Institute of Electrical and Electronics Engineers Inc. 2014. p. 384-390. 6924099. (IEEE/IAFE Conference on Computational Intelligence for Financial Engineering, Proceedings (CIFEr)). https://doi.org/10.1109/CIFEr.2014.6924099