This paper provides an asymptotically efficient algorithm for the allocation of computing resources to the problem of Monte Carlo integration of continuous-time security prices. The tradeoff between increasing the number of time intervals per unit of time and increasing the number of simulations, given a limited budget of computer time, is resolved for first-order discretization schemes (such as Euler) as well as second- and higher-order schemes (such as those of Milshtein or Talay).
Publié le : 1995-11-14
Classification:
Monte Carlo simulation,
stochastic differential equations,
option pricing,
finance,
65C05,
90A09
@article{1177004598,
author = {Duffie, Darrell and Glynn, Peter},
title = {Efficient Monte Carlo Simulation of Security Prices},
journal = {Ann. Appl. Probab.},
volume = {5},
number = {4},
year = {1995},
pages = { 897-905},
language = {en},
url = {http://dml.mathdoc.fr/item/1177004598}
}
Duffie, Darrell; Glynn, Peter. Efficient Monte Carlo Simulation of Security Prices. Ann. Appl. Probab., Tome 5 (1995) no. 4, pp. 897-905. http://gdmltest.u-ga.fr/item/1177004598/