paper
Denoised Monte Carlo for option pricing and Greeks estimation
Andrzej Daniluk, Evgeny Lakshtanov, Rafal Muchorski
Denoised Monte Carlo for option pricing and Greeks estimation
Andrzej Daniluk, Evgeny Lakshtanov, Rafal Muchorski
paper2024-02-19English
derivatives pricingarxiv
Description
We present a novel technique of Monte Carlo error reduction that finds direct application in option pricing and Greeks estimation. The method is applicable to any LSV modelling framework and concerns a broad class of payoffs, including path-dependent and multi-asset cases. Most importantly, it allows to reduce the Monte Carlo error even by an order of magnitude, which is shown in several numerical examples.
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