IMPLIED VOLATILITY FROM ASIAN OPTIONS VIA MONTE CARLO METHODS

We discuss how implied volatilities for OTC traded Asian options can be computed by combining Monte Carlo techniques with the Newton method in order to solve nonlinear equations. The method relies on accurate and fast computation of the corresponding vegas of the option. In order to achieve this we propose the use of logarithmic derivatives instead of the classical approach. Our simulations document that the proposed method shows far better results than the classical approach. Furthermore we demonstrate how numerical results can be improved by localization.

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Implied Volatility from Asian Options Via Monte Carlo Methods

SSRN Electronic Journal ◽

10.2139/ssrn.958037 ◽

2006 ◽

Author(s):

Christian-Oliver Ewald ◽

Zhaojun Yang ◽

Yajun Xiao

Keyword(s):

Monte Carlo ◽

Monte Carlo Methods ◽

Implied Volatility ◽

Asian Options

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A Comparison of Bootstrap and Monte Carlo Approaches to Testing for Symmetry in the Granger and Lee Error Correction Model

Information Management and Business Review ◽

10.22610/imbr.v5i5.1048 ◽

2013 ◽

Vol 5 (5) ◽

pp. 240-244

Author(s):

Henry de-Graft Acquah

Keyword(s):

Monte Carlo ◽

Monte Carlo Methods ◽

Large Error ◽

Small Error ◽

Small Samples ◽

Monte Carlo Techniques ◽

Large Samples ◽

Monte Carlo Algorithms ◽

Power Of The Test ◽

Simulation Results

In this paper, I investigate the power of the Granger and Lee model of asymmetry via bootstrap and Monte Carlo techniques. The simulation results indicate that sample size, level of asymmetry and the amount of noise in the data generating process are important determinants of the power of the test for asymmetry based on bootstrap and Monte Carlo techniques. Additionally, the simulation results suggest that both bootstrap and Monte Carlo methods are successful in rejecting the false null hypothesis of symmetric adjustment in large samples with small error size and strong levels of asymmetry. In large samples, with small error size and strong levels of asymmetry, the results suggest that asymmetry test based on Monte Carlo methods achieve greater power gains when compared with the test for asymmetry based on bootstrap. However, in small samples, with large error size and subtle levels of asymmetry, the results suggest that asymmetry test based on bootstrap is more powerful than those based on the Monte Carlo methods. I conclude that both bootstrap and Monte Carlo algorithms provide valuable tools for investigating the power of the test of asymmetry.

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Improved Monte Carlo and quasi-Monte Carlo methods for the price and the Greeks of Asian options

Proceedings of the Winter Simulation Conference 2014 ◽

10.1109/wsc.2014.7019910 ◽

2014 ◽

Cited By ~ 1

Author(s):

Kemal Dincer Dingec ◽

Wolfgang Hormann

Keyword(s):

Monte Carlo ◽

Monte Carlo Methods ◽

Asian Options ◽

Quasi Monte Carlo

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General multilevel Monte Carlo methods for pricing discretely monitored Asian options

European Journal of Operational Research ◽

10.1016/j.ejor.2020.04.022 ◽

2020 ◽

Vol 287 (2) ◽

pp. 739-748 ◽

Cited By ~ 2

Author(s):

Nabil Kahalé

Keyword(s):

Monte Carlo ◽

Monte Carlo Methods ◽

Asian Options ◽

Multilevel Monte Carlo

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PRICING AND DELTAS OF DISCRETELY-MONITORED BARRIER OPTIONS USING STRATIFIED SAMPLING ON THE HITTING-TIMES TO THE BARRIER

International Journal of Theoretical and Applied Finance ◽

10.1142/s0219024910005978 ◽

2010 ◽

Vol 13 (05) ◽

pp. 717-750 ◽

Cited By ~ 3

Author(s):

MARK JOSHI ◽

ROBERT TANG

Keyword(s):

Monte Carlo ◽

Monte Carlo Methods ◽

Random Variable ◽

Hitting Times ◽

Barrier Options ◽

Inverse Gaussian ◽

Monte Carlo Techniques ◽

New Methods ◽

Black Scholes Model ◽

Black Scholes

We develop new Monte Carlo techniques based on stratifying the stock's hitting-times to the barrier for the pricing and Delta calculations of discretely-monitored barrier options using the Black-Scholes model. We include a new algorithm for sampling an Inverse Gaussian random variable such that the sampling is restricted to a subset of the sample space. We compare our new methods to existing Monte Carlo methods and find that they can substantially improve convergence speeds.

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Application of Monte Carlo Methods in Transfer Problems

International Astronomical Union Colloquium ◽

10.1017/s0252921100151206 ◽

1970 ◽

Vol 2 ◽

pp. 119-119

Author(s):

C. Magnan

Keyword(s):

Monte Carlo ◽

Continuous Spectrum ◽

Monte Carlo Methods ◽

Constant Velocity ◽

Coherent Scattering ◽

Monte Carlo Techniques ◽

Flat Disk ◽

Transfer Problems ◽

Formal Communication ◽

Isothermal Atmosphere

I have not prepared any formal communication. Nevertheless I would like to mention the types of calculation that are now in progress in Paris.I am handling transfer problems in moving atmospheres by using Monte Carlo techniques. A twolevel atom and an isothermal atmosphere are always assumed. Two types“of geometry are considered: a spherical atmosphere with a constant velocity of expansion, or a flat disk with constant velocities of expansion and rotation. Non-coherent scattering (either entirely incoherent or partially coherent) is assumed with respect to the “local frequency“ (as seen by the absorbing atoms).Concerning the “creation” of photons, two problems have been handled: the photons are created via absorption of a continuous spectrum produced by an underlying photosphere (the Schuster problem) or they are created within the envelope via electronic collision or recombination from ionized states.The most typical results concern the Schuster problem.

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