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Erschienen in:
2009 | OriginalPaper | Buchkapitel
Adaptive (Quasi-)Monte Carlo Methods for Pricing Path-Dependent Options
verfasst von : Roman N. Makarov
Erschienen in: Monte Carlo and Quasi-Monte Carlo Methods 2008
Verlag: Springer Berlin Heidelberg
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We study a recently developed adaptive path-integration technique for pricing financial derivatives. The method is based on the rearrangement and splitting of path-integral variables to apply a combination of bridge sampling, adaptive methods of numerical integration, and the quasi-Monte Carlo method. We study the subregion adaptive Vegas-type method Suave from the
Cuba
library and propose a new variance reduction method with a multivariate piecewise constant sampling density. Two models of asset pricing are considered: the constant elasticity of variance diffusion model and the variance gamma Lévy model. Numerical tests are done for Asian-type options.