فهرست مقالات Control Variate

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  1 - Variance analysis of control variate technique and applications in Asian option ‎pricing‎
  B. Fathi ‎Vajargah‎ A. Salimipour‎ S. Salahshour‎
  This paper presents an analytical view of variance reduction by control variate technique for pricing arithmetic Asian options as a financial derivatives. In this paper, the effect of correlation between two random variables is shown. We propose an efficient method for چکیده کامل

  This paper presents an analytical view of variance reduction by control variate technique for pricing arithmetic Asian options as a financial derivatives. In this paper, the effect of correlation between two random variables is shown. We propose an efficient method for choose suitable control in pricing arithmetic Asian options based on the control variates (CV). The numerical experiment shows the productivity of the proposed ‎method.‎ پرونده مقاله
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  2 - Stock Option Pricing by Augmented Monte-Carlo Simulation models
  Jalal Seifoddini
  10.22034/amfa.2019.1879290.1297
  Studying stock options is still a pristine area of research in the Iranian capital market. This is due to the lack of data as well as the complexity of valuation methodologies. In the present paper, using the Monte-Carlo simulation, we have estimated the value of stock چکیده کامل

  Studying stock options is still a pristine area of research in the Iranian capital market. This is due to the lack of data as well as the complexity of valuation methodologies. In the present paper, using the Monte-Carlo simulation, we have estimated the value of stock options traded on Tehran Stock Exchange and examined whether the use of a control variate or antithetic variate augmented methods can lower the standard error of estimates. Furthermore, the estimated values of the three models under consideration, including crude Monte-Carlo, control variates augmented Monte-Carlo, and antithetic variates augmented Monte-Carlo are compared with each other and with options market prices. The results show that the standard error of the antithetic variate method is less than the crude method and control variate method. However, the control variate augmented Monte-Carlo model is more powerful than the crude Monte-Carlo and antithetic variate augmented Monte-Carlo method. Therefore, we can conclude that the control variate augmented Monte-Carlo model has a better performance in estimating the value of trading stock options and its estimated values are closer to the market prices. پرونده مقاله