@inproceedings{00939863d2a64094b168b12213072704,
title = "Variance reduction for financial options pricing",
abstract = "Options pricing is still an open area for exact results. Monte Carlo integration is the unique solution for especially complicated options. It is desired to control variability while implementing Monte Carlo techniques. In order to supply reliable results variance of simulation trials should be decreased. Importance Sampling is one of the variance reduction techniques commonly used in Monte Carlo applications. This study includes a research to gather the appropriate Importance Sampling density which gives the lowest variance. We illustrate the Importance Sampling method on financial options and calculate the value of options. By the same way, it is possible to calculate any expectation that cannot be calculated analytically. Numerical results indicate that longer tailed proposal distributions provide substantial decrease in the estimated variance.",
author = "Semih Y{\"o}n and Bozdaǧ, \{Cafer Erhan\}",
year = "2012",
doi = "10.1142/9789814417747\_0191",
language = "English",
isbn = "9789814417730",
series = "World Scientific Proc. Series on Computer Engineering and Information Science 7; Uncertainty Modeling in Knowledge Engineering and Decision Making - Proceedings of the 10th International FLINS Conf.",
publisher = "World Scientific Publishing Co. Pte Ltd",
pages = "1190--1195",
booktitle = "World Scientific Proc. Series on Computer Engineering and Information Science 7; Uncertainty Modeling in Knowledge Engineering and Decision Making - Proceedings of the 10th International FLINS Conf.",
address = "Singapore",
note = "10th International Fuzzy Logic and Intelligent Technologies inNuclear Science Conference, FLINS 2012 ; Conference date: 26-08-2012 Through 29-08-2012",
}