A stochastic optimization method for European option pricing

• Autorzy: Todorov Venelin , Georgiev Slavi

Identyfikatory

DOI

10.15439/2022F164

• Konferencja: Federated Conference on Computer Science and Information Systems (17 ; 04-07.09.2022 ; Sofia, Bulgaria)
• Języki publikacji: EN

Abstrakty

EN

In the contemporary finance the Monte Carlo andquasi-Monte Carlo methods are solid instruments to solve various problems. In the paper the problem of finding the fair value of European style options is considered. Regarding the option pricing problems, Monte Carlo methods are extremely efficient and useful, especially in higher dimensions. In this paper we show simulation optimization methods which essentially improve the accuracy of the standard approaches for European style options.

Słowa kluczowe

EN

optimization technique; Monte Carlo method; high dimension; stochastic approach

PL

technika optymalizacji; metoda Monte Carlo; podejście stochastyczne

• Wydawca: Polskie Towarzystwo Informatyczne
• Czasopismo: Annals of Computer Science and Information Systems
• Rocznik: 2022
• Tom: Vol. 32
• Strony: 97--100
• Opis fizyczny: Bibliogr. 25 poz., tab., wz.

Twórcy

autor

Todorov Venelin

• nstitute of Mathematics and Informatics Bulgarian Academy of Sciences 8 Acad. G. Bonchev Str., 1113 Sofia, Bulgaria
• nstitute of Information and Communication Technologies Bulgarian Academy of Sciences 25A Acad. G. Bonchev Str., 1113 Sofia, Bulgaria

autor

Georgiev Slavi

• nstitute of Mathematics and Informatics Bulgarian Academy of Sciences 8 Acad. G. Bonchev Str., 1113 Sofia, Bulgaria
• Department of Applied Mathematics and Statistics Angel Kanchev University of Ruse 8 Studentska Str., 7004 Ruse, Bulgaria

Bibliografia

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Uwagi

Opracowanie rekordu ze środków MEiN, umowa nr SONP/SP/546092/2022 w ramach programu "Społeczna odpowiedzialność nauki" - moduł: Popularyzacja nauki i promocja sportu (2022-2023).