. . "27510" . "Financial option;Black-Scholes model;Monte-Carlo approach;Quasi Monte-Carlo method and antithetic variables;standard error"@en . "Arencibia Montero, Orlando" . . "[CF31187D1380]" . . . . "10/2004" . "2"^^ . . . "2"^^ . "12"^^ . "84-95723-26-3" . "555139" . "V posledn\u00EDch letech, s rozvojem v\u00FDpo\u010Detn\u00ED techniky, doch\u00E1z\u00ED k rozvoji modern\u00EDch n\u00E1stroj\u016F p\u0159i \u0159e\u0161en\u00ED probl\u00E9m\u016F r\u016Fzn\u00E9 slo\u017Eitosti. Jednu z t\u011Bchto nov\u00FDch metod p\u0159edstavuje p\u0159\u00EDstup zalo\u017Een\u00FD na numerick\u00E9m \u0159e\u0161en\u00ED \u00FAloh, t\u00E9\u017E ozna\u010Dovan\u00FD jako metody Monte-Carlo. Historie t\u00E9to metody sice spad\u00E1 do poloviny minul\u00E9ho stolet\u00ED, ale teprve v posledn\u00ED dob\u011B je jej\u00EDmu vyu\u017Eit\u00ED v\u011Bnov\u00E1na pat\u0159i\u010Dn\u00E1 pozornost. S vyu\u017Eit\u00EDm metody Monte-Carlo jsou p\u0159i ocen\u011Bn\u00ED opc\u00ED spojeny v\u00FDhody i nev\u00FDhody. Jednou z nev\u00FDhod m\u016F\u017Ee b\u00FDt mal\u00E1 rychlost konvergence, kter\u00E1 \u010Din\u00ED , kde N je po\u010Det simulac\u00ED. Proto byly navr\u017Eeny postupy urychluj\u00EDc\u00ED konvergenci a zvy\u0161uj\u00EDc\u00ED efektivnost cel\u00E9ho v\u00FDpo\u010Dtu. K t\u011Bmto postup\u016Fm lze za\u0159adit metody redukce rozptylu (pou\u017Eit\u00ED protikladn\u00FDch prom\u011Bnn\u00FDch-antithetic variates a \u0159\u00EDzen\u00FDch prom\u011Bnn\u00FDch-control variates) a tak\u00E9 postupy zvy\u0161uj\u00EDc\u00ED kvalitu gener\u00E1toru pseudo-n\u00E1hodn\u00FDch \u010D\u00EDsel, kdy tato \u010D\u00EDsla jsou nahrazena quasi-n\u00E1hodn\u00FDmi \u010D\u00EDsly, kter\u00E1 jsou tvo\u0159ena pomoc\u00ED deterministick\u00FDch algoritm\u016F. Pou\u017Eit\u00ED quasi-n\u00E1hodn\u00FDch \u010D\u00EDsel p\u0159i simulov\u00E1n"@cs . "Using simulation is a new approach for option pricing and pricing of other derivatives. Interest in use of Monte-Carlo methods for option pricing is increasing. Monte-Carlo methods are an alternative approach to analytical pricing models (Black-Scholes model). This paper deals with basic analysis of the Monte-Carlo approach and its extensions for option pricing with the use of antithetic variables technique and Quasi Monte-Carlo. In this paper Monte-Carlo, variance reduction techniques and Quasi Monte-Carlo option pricing process is described. Theoretical results of option prices are confirmed by the application of evaluating European call options and simulations results are compared with analytical results. Convergence of option pricing results and standard errors of option prices to analytical option price are graphically demonstrated." . "1" . "RIV/61989100:27510/04:00009574!RIV/2005/MSM/275105/N" . . "Gregor, Leo\u0161" . "Documentos de Trabajo" . . . . "Using simulation is a new approach for option pricing and pricing of other derivatives. Interest in use of Monte-Carlo methods for option pricing is increasing. Monte-Carlo methods are an alternative approach to analytical pricing models (Black-Scholes model). This paper deals with basic analysis of the Monte-Carlo approach and its extensions for option pricing with the use of antithetic variables technique and Quasi Monte-Carlo. In this paper Monte-Carlo, variance reduction techniques and Quasi Monte-Carlo option pricing process is described. Theoretical results of option prices are confirmed by the application of evaluating European call options and simulations results are compared with analytical results. Convergence of option pricing results and standard errors of option prices to analytical option price are graphically demonstrated."@en . . "Z(MSM 275100015)" . . "Application of Monte-Carlo Methods in Option Pricing"@en . "Aplikace metod Monte-Carlo p\u0159i oce\u0148ov\u00E1n\u00ED opc\u00ED"@cs . "1-12" . "Aplikace metod Monte-Carlo p\u0159i oce\u0148ov\u00E1n\u00ED opc\u00ED"@cs . . "ES - \u0160pan\u011Blsk\u00E9 kr\u00E1lovstv\u00ED" . "Application of Monte-Carlo Methods in Option Pricing" . . "Application of Monte-Carlo Methods in Option Pricing" . . . "RIV/61989100:27510/04:00009574" . "Application of Monte-Carlo Methods in Option Pricing"@en .