Monte Carlo Option Princing
DOI:
https://doi.org/10.17533/udea.le.n61a2729Abstract
El método Monte Carlo se aplica a varios casos de valoración de opciones financieras. El método genera una buena aproximación al comparar su precisión con la de otros métodos numéricos. La estimación que produce la versión Cruda de Monte Carlo puede ser aún más exacta si se recurre a metodologías de reducción de la varianza entre las cuales se sugieren la variable antitética y la variable de control. Sin embargo, dichas metodologías requieren un esfuerzo computacional mayor por lo cual las mismas deben ser evaluadas en términos no sólo de su precisión sino también de su eficiencia.
Palabras clave: método Monte Carlo, valoración de opciones, opciones financieras, métodos numéricos. Clasificación JEL: C15, G12.
Abstract:
The Monte Carlo method is applied to various cases of financial option pricing. Its performance is satisfactory in terms of accuracy when it is compared to other numerical methods. The precision of the estimates provided by Crude Monte Carlo can be improved by implementing variance reduction techniques such as antithetic variate and control variate. However, the use of these techniques implies a greater computational effort; thus, there is a trade-off between a lower variance estimator and a higher computational requirement which demands us to check not only for the accuracy of the estimator but alsofor its efficiency.
Keywords: Monte Carlo Method, Option Pricing, Financial Options, Numerical Methods. JEL: C15, G12.
Résumé:
La méthode de Monte Carlo est appliquée à de divers cas de l'évaluation financière d'option. Son exécution est satisfaisante en termes d'exactitude quand elle est comparée à d'autres méthodes numériques. La précision des évaluations fournies par la version Brut Monte Carlo peut être plus precise si on applique des techniques de réduction de la variance telles que la variable antithétique et la variable de controle. Cependant, l'utilisation de ces techniques implique un plus grand effort informatique ; ainsi, on doit évaluer non seulement l'exactitude de l'estimateur mais également son efficacité.
Mots-clés : Méthode De Monte Carlo, Évaluation des Options, Options Financières, Méthodes Numériques
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