haku: @author Simonato, J.-G. / yhteensä: 2
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| Tekijä: | Duan, J.-C. Gauthier, G. Simonato, J.-G. |
| Otsikko: | Asymptotic Distribution of the EMS Option Price Estimator |
| Lehti: | Management Science
2001 : AUG, VOL. 47:8, p. 1122-1132 |
| Asiasana: | MONTE CARLO TECHNIQUE OPTIONS PRICES DERIVATIVE SECURITIES |
| Kieli: | eng |
| Tiivistelmä: | Monte Carlo simulation is commonly used for computing prices of derivative securities when an analytical solution does not exist. Recently, a new simulation technique known as empirical martingale simulation (EMS) has been proposed by Duan and Simonato (1998) as a way of improving simulation accuracy. EMS has one drawback however. Because of the dependency among sample paths created by the EMS adjustment, the standard error of the price estimate is not readily available from using one simulation sample. In this paper, the authors develop a scheme to estimate the EMS accuracy. The EMS price estimator is first shown to have an asymptotically normal distribution. |
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