The value of Monte Carlo model-based variance reduction technology in the pricing of financial derivatives.

ABSTRACT: The purpose of the study is to reduce the error in the pricing process of financial derivatives, as well as to obtain more accurate product values, thereby reducing transaction costs, accelerating transaction speed, establishing a larger investment scale, and enabling investors to obtain excellent returns under market conditions as much as possible. Based on the variance reduction technology, a Monte Carlo model that can effectively analyze financial prices is added to analyze price fluctuations and find the optimal holding time for users of financial derivatives, thereby reducing the risk of holding the financial derivatives. The results show that the Monte Carlo model-based variance reduction technology can significantly improve the simulation efficiency of financial derivatives pricing.

SUBMITTER: Zhang Y 

PROVIDER: S-EPMC7046269 | biostudies-literature | 2020

REPOSITORIES: biostudies-literature