A stochastic optimization method for European option pricing

In the contemporary finance the Monte Carlo andquasi-Monte Carlo methods are solid instruments to solve various problems. In the paper the problem of finding the fair value of European style options is considered. Regarding the option pricing problems, Monte Carlo methods are extremely efficient and useful, especially in higher dimensions. In this paper we show simulation optimization methods which essentially improve the accuracy of the standard approaches for European style options.

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Opracowanie rekordu ze środków MEiN, umowa nr SONP/SP/546092/2022 w ramach programu "Społeczna odpowiedzialność nauki" - moduł: Popularyzacja nauki i promocja sportu (2022-2023).