The Application of Control Variate Technique Using Flexible Binomial Model in Option Pricing
碩士 === 義守大學 === 財務金融學系 === 92 === Using flexible binomial model can improve the disadvantage of binomial model that it fluctuates in a sawtooth pattern, and converges smoothly. However, the flexible binomial model is computationally inefficient; the control variate technique can be used to improve t...
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| Format: | Others |
| Language: | zh-TW |
| Published: |
2004
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| Online Access: | http://ndltd.ncl.edu.tw/handle/84753147425076710510 |
| Summary: | 碩士 === 義守大學 === 財務金融學系 === 92 === Using flexible binomial model can improve the disadvantage of binomial model that it fluctuates in a sawtooth pattern, and converges smoothly. However, the flexible binomial model is computationally inefficient; the control variate technique can be used to improve the efficiency of the flexible binomial model. Not only American option, but we use the control variate technique to improve the efficiency of barrier option. Consequently, we find that continuous and discrete barrier option can use the control variate technique to improve the
efficiency.
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