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Numerical Simulation for Multi-asset Derivatives Pricing Under Black-Scholes Model
Paper Type  |
Contributed Paper |
Title |
Numerical Simulation for Multi-asset Derivatives Pricing Under Black-Scholes Model |
Author |
Farshid Mehrdoust, Kianoush Fathi Vajargah and Asghar Rahimi |
Email |
far.mehrdoust@gmail.com |
|
Abstract: Options are one of the most important financial instruments for risk management and option pricing is a well known problem in financial mathematics. In this paper, we simulate the multi-asset option price using the Monte Carlo method with variance reduction techniques. Several examples are given to illustrate the use of Mean Monte Carlo method, and to observe the variance reduction achieved compare to the crude Monte Carlo. |
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Start & End Page |
725 - 735 |
Received Date |
2012-11-23 |
Revised Date |
|
Accepted Date |
2013-04-02 |
Full Text |
Download |
Keyword |
Multi-asset options, European option pricing, Monte Carlo, Variance reduction, Black-Scholes model |
Volume |
Vol.40 No.4 (OCTOBER 2013) |
DOI |
|
Citation |
Mehrdoust F., Vajargah K.F. and Rahimi A., Numerical Simulation for Multi-asset Derivatives Pricing Under Black-Scholes Model, Chiang Mai J. Sci., 2013; 40(4): 725-735. |
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