Document Type : Research Manuscript
Author
Insurance Research Center, Tehran, Iran
Abstract
In this paper, a new adaptive Monte Carlo algorithm is proposed to solve the systems of linear algebraic equations arising from the Black–Scholes model to price European and American options. The proposed algorithm offers several advantages over the conventional and previous adaptive Monte Carlo algorithms. The corresponding properties of the algorithm and Convergence theories are discussed and numerical experiments are presented which demonstrate the computational efficiency of the proposed algorithm. The results are also compared with other methods.
Keywords
- Adaptive Monte Carlo algorithm Finite difference method Black– Scholes model
- European and American option.&lrm
Main Subjects
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