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- W2562171907 abstract "This paper investigates the use of a variance reduction, called importance sampling, for Monte Carlo methods in the case of the stochas- tic volatility model for option pricing introduced by Hobson and Rogers (1998). We brie∞y recall that a European call option contract gives the right, but not the obligation, to buy a speciflc amount of a given stock or index at a specifled price (strike price) in a specifled time (maturity); we show some evidence on the call options on MIB30 Italian Index to verify the performance of the importance sampling in a complete stochas- tic volatility model. In Monte Carlo method the price of a call option is obtained as the average value of the simulations of a large number of independent, uniform variates (prices) by means of pseudo-random num- ber generators. It is shown, flnally, that variance is dramatically reduced meaning that numerical techniques introduced for variance reduction have still a lot to say." @default.
- W2562171907 created "2017-01-06" @default.
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- W2562171907 date "2007-01-01" @default.
- W2562171907 modified "2023-09-26" @default.
- W2562171907 title "Variance reduction in a stochastic volatility scenario" @default.
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