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Communication Papers of the 17th Conference on Computer Science and Intelligence Systems

Annals of Computer Science and Information Systems, Volume 32

A Stochastic Optimization Method for European Option Pricing


DOI: http://dx.doi.org/10.15439/2022F164

Citation: Communication Papers of the 17th Conference on Computer Science and Intelligence Systems, M. Ganzha, L. Maciaszek, M. Paprzycki, D. Ślęzak (eds). ACSIS, Vol. 32, pages 97100 ()

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Abstract. In the contemporary finance the Monte Carlo andquasi-Monte Carlo methods are solid instruments to solve various problems. In the paper the problem of finding the fair value of European style options is considered. Regarding the option pricing problems, Monte Carlo methods are extremely efficient and useful, especially in higher dimensions. In this paper we show simulation optimization methods which essentially improve the accuracy of the standard approaches for European style options.


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