Arbeitspapier

Multi-level Monte Carlo simulations with importance sampling

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We present an application of importance sampling in a Monte Carlo simulation for multi-asset options and in a Multi-Level Monte Carlo simulation. We demonstrate that applying importance sampling only on the first level of the Multi-Level Monte Carlo significantly improves its effective performance. We extend the Likelihood Ratio Method Based on Characteristic Function to estimate the Greeks of multi-asset options and in a Multi-Level Monte Carlo in a computationally efficient manner. Moreover, we combine it with the importance sampling to reduce the variance of the Greeks. Finally, we study the impact of the skew on the effective performance of importance sampling

Sprache
Englisch

Erschienen in
Series: Manchester Business School Working Paper ; No. 637

Klassifikation
Wirtschaft
Thema
Importance sampling
Simulation
Stochastic volatility

Ereignis
Geistige Schöpfung
(wer)
Stilger, Przemyslaw Stan
Poon, Ser-Huang
Ereignis
Veröffentlichung
(wer)
The University of Manchester, Manchester Business School
(wo)
Manchester
(wann)
2013

Handle
Letzte Aktualisierung
10.03.2025, 11:42 MEZ

Datenpartner

Dieses Objekt wird bereitgestellt von:
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Objekttyp

  • Arbeitspapier

Beteiligte

  • Stilger, Przemyslaw Stan
  • Poon, Ser-Huang
  • The University of Manchester, Manchester Business School

Entstanden

  • 2013

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