With reference to the well known problem of the evaluation of speed- precision efficiency of American Put options binomial pricing methods, we explore a way to improve the sample selection step of those procedures. The idea is to exploit stratified sampling techniques instead of simple sampling ones. In particular, we found that the importance sampling technique offers good results in terms of error estimation stability. Keywords: America
Stratified sampling in finance: a methodological remark
GRASSETTI, Luca;PRESSACCO, Flavio;ZIANI, Laura
2011-01-01
Abstract
With reference to the well known problem of the evaluation of speed- precision efficiency of American Put options binomial pricing methods, we explore a way to improve the sample selection step of those procedures. The idea is to exploit stratified sampling techniques instead of simple sampling ones. In particular, we found that the importance sampling technique offers good results in terms of error estimation stability. Keywords: AmericaFile in questo prodotto:
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