Monte Carlo Simulation of an American Option
We implement gradient estimation techniques for sensitivity analysis of option pricing which can be efficiently employed in Monte Carlo simulation. Using these techniques we can simultaneously obtain an estimate of the option value together with the estimates of sensitivities of the option value to...
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| Format: | Article |
| Language: | English |
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International Institute of Informatics and Cybernetics
2007-04-01
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| Series: | Journal of Systemics, Cybernetics and Informatics |
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| Online Access: | http://www.iiisci.org/Journal/CV$/sci/pdfs/P405572.pdf
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