Yuji Nakatsukasa

University of Oxford

Mansfield Road

Oxford, Oxfordshire OX1 4AU

United Kingdom

  • University of Oxford

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Weighted Monte Carlo with Least Squares and Randomized Extended Kaczmarz for Option Pricing

Swiss Finance Institute Research Paper No. 19-54
Number of pages: 31 Posted: 18 Oct 2019 Last Revised: 23 Oct 2019
Damir Filipović, Kathrin Glau, Yuji Nakatsukasa and Francesco Statti
Ecole Polytechnique Fédérale de Lausanne, Queen Mary University of London, University of Oxford and Ecole Polytechnique Fédérale de Lausanne
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Abstract:

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Monte Carlo, Monte Carlo under budget constraints, variance reduction, multi-asset options, Kaczmarz algorithm, weighted sampling, large-scale least-squares problems