The weighted variance minimization for options pricing

Gormin A. A. and Kashtanov Y. N.
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Gormin A. A.: Saint-Petersburg State University, Faculty of Mathematics and Mechanics, Department of Statistical Simulation, 198504 St. Petersburg, Russia. Email: Anatoliy.Gormin@pobox.spbu.ru
Kashtanov Y. N.: Saint-Petersburg State University, Faculty of Mathematics and Mechanics, Department of Statistical Simulation, 198504 St. Petersburg, Russia. Email: Yuri.Kashtanov@paloma.spbu.ru

Monte Carlo Methods and Applications, 2008, vol. 13, issue 5-6, 333-351

Abstract: A problem of the weighted variance minimization for options pricing in the case of a diffusion model is considered. We estimate a number of options with different values of some parameter which can be a strike price, an exercise date, a barrier, etc. The optimal estimators in the general case and their approximations for some options are pointed out.

Keywords: Variance minimization; option pricing; diffusion model (search for similar items in EconPapers)
Date: 2008
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DOI: 10.1515/mcma.2007.018

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