Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/102376 
Erscheinungsjahr: 
2013
Schriftenreihe/Nr.: 
Manchester Business School Working Paper No. 637
Verlag: 
The University of Manchester, Manchester Business School, Manchester
Zusammenfassung: 
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
Schlagwörter: 
Importance sampling
Simulation
Stochastic volatility
Dokumentart: 
Working Paper

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