Accelerated Option Pricing in Multiple Scenarios

Details Accelerated Option Pricing in Multiple Scenarios Accelerated Option Pricing in Multiple Scenarios

2008-07-31

arxiv.org/abs/0807.5120v2

Computer Science

Computational Engineering, Finance, and Science

17 pages: Page 17, References corrected

Scientific paper

This paper covers a massive acceleration of Monte-Carlo based pricing method for financial products and financial derivatives. The method is applicable in risk management settings, where a financial product has to be priced under a number of potential future scenarios. Instead of starting a separate nested Monte Carlo simulation for each scenario under consideration, the new method covers the utilization of very few representative nested simulations and estimating the product prices at each scenario by a smoothing method based on the state-space. This smoothing technique can be e.g. non-parametric regression or kernel smoothing.

Affiliated with

Also associated with

No associations

Rating

Accelerated Option Pricing in Multiple Scenarios does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.

If you have personal experience with Accelerated Option Pricing in Multiple Scenarios, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and Accelerated Option Pricing in Multiple Scenarios will most certainly appreciate the feedback.

Rate now

Comments { 0 }

Profile ID: LFWR-SCP-O-364242