Efficient Simulations for Exotic Options under NIG Model

摘要：

This paper discusses the Monte Carlo and quasi-Monte Carlo methods combined with some variance reduction techniques for exotic option pricing where the log returns of the underlying asset prices follow both the NIG and the normal distributions. An arithmetic Asian option and an Up-and-Out Asian option are considered in this paper. Our test results show that variance reduction methods can usually reduce variances significantly if they are chosen carefully. The results also show that the (randomized) quasiMonte Carlo method is more efficient than the Monte Carlo method if both are combined with the same variance reduction method.

关键词： Normal Inverse Gaussian Distributions Option pricing Monte Carlo and Quasi-Monte Carlo simulation methods variance reduction methods

作者: Yongjia Xu Yongzeng Lai Xiaojing Xi

作者单位: College of Economics and Statistics Guangdong University of Business Studies Guangzhou, PR China Department of Mathematics Wilfrid Laurier University Waterloo, ON, N2L 3C5, Canada Department of Applied Mathematics University of Western Ontario London, Ontario, N6A 5B7, Canada

会议类型: 国际会议

会议名称: The Fourth International Joint Conference on Computational Science and Optimization(第四届计算科学与优化国际大会 CSO 2011)

会议地点: 昆明、丽江

会议语种:英文

页码: 1286-1290

在线出版日期: 2011-04-15（万方平台首次上网日期，不代表论文的发表时间）