Farshid Mehrdoust; Kianoush Fathi; Naghmeh Saber

International Journal of Information Technology and Computer Science (IJITCS)

IJITCS Vol. 6, No. 4, 8 Mar. 2014

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Accelerated Simulation Scheme for Solving Financial Problems

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Author(s)

Farshid Mehrdoust ^1,* Kianoush Fathi ² Naghmeh Saber ¹

1. Faculty of Mathematical Sciences, Department of Applied Mathematics, University of Guilan, Rasht, Iran

2. Department of Statistics, Islamic Azad University, North branch, Tehran, Iran

* Corresponding author.

DOI: https://doi.org/10.5815/ijitcs.2014.04.05

Received: 4 Jul. 2013 / Revised: 1 Oct. 2013 / Accepted: 20 Dec. 2013 / Published: 8 Mar. 2014

Index Terms

Monte Carlo Simulation, Option Pricing Variance Reduction, European Option

Abstract

The Monte Carlo simulation method uses random sampling to study properties of systems with components that behave in a random state. More precisely, the idea is to simulate on the computer the behavior of these systems by randomly generating the variables describing the behavior of their components. In this paper, we propose an efficient and reliable simulation scheme based on Monte Carlo algorithm and combining two variance reduction procedures. We simulate a European option price numerically using the proposed simulation scheme.

Cite This Paper

Farshid Mehrdoust, Kianoush Fathi, Naghmeh Saber, "Accelerated Simulation Scheme for Solving Financial Problems", International Journal of Information Technology and Computer Science(IJITCS), vol.6, no.4, pp.43-48, 2014. DOI:10.5815/ijitcs.2014.04.05

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