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Content available remote An optimization technique for estimating Sobol sensitivity indices
Todorov Venelin, Georgiev Slavi
Annals of Computer Science and Information Systems
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2022
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Vol. 32
93--96
EN
In this paper we proposed an optimization techniquefor improving the Monte Carlo algorithms based on Halton and Sobol algorithms. The novelty of the proposed approaches is that the optimization of the Halton and Sobol sequences is applied for the first time and essentially improves the results by the original sequences. The results will be of great importance for the environment protection and the trustability of forecasts.
2
Content available remote A stochastic optimization method for European option pricing
Todorov Venelin, Georgiev Slavi
Annals of Computer Science and Information Systems
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2022
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Vol. 32
97--100
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.
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