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  • We can distinguish many ways to price nonlinear financial derivatives. Monte Carlo simulation is the method which is very useful mainly in pricing of non-linear types of financial derivatives - options with complicated payoff functions or when complex underlying processes are considered. In this paper we suppose Variance Gamma process, which can be regarded as a subordinated Brownian motion. We run basic variance reduction techniques to increase the efficiency of the plain Monte Carlo method in pricing of options. Plain vanilla call option is supposed to allow the comparison of all methods with the %22true%22 price. All results are also compared to the standard case of geometric Brownian motion.
  • We can distinguish many ways to price nonlinear financial derivatives. Monte Carlo simulation is the method which is very useful mainly in pricing of non-linear types of financial derivatives - options with complicated payoff functions or when complex underlying processes are considered. In this paper we suppose Variance Gamma process, which can be regarded as a subordinated Brownian motion. We run basic variance reduction techniques to increase the efficiency of the plain Monte Carlo method in pricing of options. Plain vanilla call option is supposed to allow the comparison of all methods with the %22true%22 price. All results are also compared to the standard case of geometric Brownian motion. (en)
  • V zásadě je možné rozlišit několik základních přístupů k ocenění nelineárních finančních derivátů. Simulace Monte Carlo je metoda, která je velmi užitečná zejména při oceňování opcí s komplikovanými výplatními funkcemi či při komplexních podkladových procesích. V tomto článku je pozornost zaměřena na funkčnost základních metod Monte Carlo s přihlédnutím k redukci rozptylu při simulaci podkladového procesu na bázi VG modelu. Jako příklad je vybrána plain vanilla call opce, jelikož umožňuje srovnání s analytickým výsledkem. (cs)
Title
  • Basic Ways of Monte Carlo Simulation to Efficient Pricing of European Options
  • Základní postupy simulace Monte Carlo při oceňování evropských opcí (cs)
  • Basic Ways of Monte Carlo Simulation to Efficient Pricing of European Options (en)
skos:prefLabel
  • Basic Ways of Monte Carlo Simulation to Efficient Pricing of European Options
  • Základní postupy simulace Monte Carlo při oceňování evropských opcí (cs)
  • Basic Ways of Monte Carlo Simulation to Efficient Pricing of European Options (en)
skos:notation
  • RIV/61989100:27510/05:00011844!RIV06-GA0-27510___
http://linked.open.../vavai/riv/strany
  • 381-389
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  • P(GA402/04/1357), P(GP402/05/P085)
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  • 513566
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  • RIV/61989100:27510/05:00011844
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  • Monte Carlo simulation; Variance reduction methods; pricing of options; Variance gamma model (en)
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http://linked.open...ontrolniKodProRIV
  • [9B67EE1271B3]
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  • Hradec Králové
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  • Hradec Králové
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  • Mathematical Methods in Economics
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  • Tichý, Tomáš
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  • Univerzita Hradec Králové
https://schema.org/isbn
  • 80-7041-535-5
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  • 27510
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