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- W2493027684 abstract "Option price is expressed as an expectation of a random variable representing a payoff. Thus we generate sufficiently many asset price paths using random number generators, and evaluate the average of the payoff. In this chapter we introduce efficient ways to apply the Monte Carlo method. The key idea is variance reduction, which increases the precision of estimates for a given sample size by reducing the sample variance in the application of the Central Limit Theorem. The smaller the variance is, the narrower the confidence interval becomes, for a given confidence level and a fixed sample size." @default.
- W2493027684 created "2016-08-23" @default.
- W2493027684 creator A5070400970 @default.
- W2493027684 date "2016-01-01" @default.
- W2493027684 modified "2023-09-25" @default.
- W2493027684 title "The Monte Carlo Method for Option Pricing Monte Carlo method" @default.
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- W2493027684 doi "https://doi.org/10.1007/978-3-319-25589-7_28" @default.
- W2493027684 hasPublicationYear "2016" @default.
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