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arXiv · 2402.12528

Denoised Monte Carlo for option pricing and Greeks estimation

Andrzej Daniluk·Evgeny Lakshtanov·Rafal Muchorski
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Abstract

We present a novel technique of Monte Carlo error reduction that finds direct application in option pricing and Greeks estimation. The method is applicable to any LSV modelling framework and concerns a broad class of payoffs, including path-dependent and multi-asset cases. Most importantly, it allows to reduce the Monte Carlo error even by an order of magnitude, which is shown in several numerical examples.

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Andrzej Daniluk, Evgeny Lakshtanov, Rafal Muchorski. 2024-02-19. Denoised Monte Carlo for option pricing and Greeks estimation. https://arxiv.org/abs/2402.12528

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