Stacked Monte Carlo for option pricing

Antoine Jacquier, Emma R. Malone and Mugad Oumgari

Papers from arXiv.org

Abstract: We introduce a stacking version of the Monte Carlo algorithm in the context of option pricing. Introduced recently for aeronautic computations, this simple technique, in the spirit of current machine learning ideas, learns control variates by approximating Monte Carlo draws with some specified function. We describe the method from first principles and suggest appropriate fits, and show its efficiency to evaluate European and Asian Call options in constant and stochastic volatility models.

Date: 2019-03
New Economics Papers: this item is included in nep-big, nep-cmp and nep-sea
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://arxiv.org/pdf/1903.10795 Latest version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1903.10795

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().