Pricing of options using importance sampling and stratification/ Quasi-Monte Carlo
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United States of America Patent
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Apr 30, 2002
Grant Date -
N/A
app pub date -
Dec 10, 1998
filing date -
Dec 10, 1998
priority date (Note) -
Expired
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Abstract
A computer implemented method prices derivative securities (for example, options) by selecting an importance sampling (IS) distribution and combining the chosen IS distribution with stratified sampling. The process consists of the steps of choosing an importance sampling distribution and combining the chosen importance sampling with stratification or Quasi-Monte Carlo (QMC) simulation. In the first step, an importance sampling distribution is chosen. In the second step, the chosen importance sampling is combined with stratification or Quasi-Monte Carlo sequencing. The pricing of many types of securities reduces to one of estimating an expectation of a real-valued function of some random variables.
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