arXiv subjects

Andrzej Daniluk

Publications and source records attributed to Andrzej Daniluk.

2 recordsLinked to original sources

arXiv2024

Denoised Monte Carlo for option pricing and Greeks estimation

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.

q-fin.PR↗

arXiv2015

Approximations of Bond and Swaption Prices in a Black-Karasiński Model

We derive semi-analytic approximation formulae for bond and swaption prices in a Black-Karasiński interest rate model. Approximations are obtained using a novel technique based on the Karhunen-Loève expansion. Formulas are easily computable and prove to be very accurate in numerical tests. This makes them useful for numerically efficient calibration of the model.

q-fin.CP↗