Intelligent simulation-based European option valuation

DOI10.1007/978-3-032-22221-3_30MaRDI QIDQ7411343zbMATH OpenFDO

Authors Venelin Todorov, Boris Chakarov, Svetoslav Hadziivanov, Slavi G. Georgiev, Yuri Dimitrov

Publication date 2026

Full work available at URL https://doi.org/10.1007/978-3-032-22221-3_30

zbMATH Keywords

Monte Carlo methodoption pricing

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)

Review text

This paper introduces a robust framework for pricing multidimensional European options using advanced Monte Carlo and quasi-Monte Carlo simulation techniques.\N\NBy integrating intelligent algorithmic optimizations and demonstrating method scalability, the study significantly improves computational efficiency and convergence rates compared to traditional approaches.\N\NFor the entire collection see [Zbl 08235297].

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