Seminars&Colloquia
- Colloquium: Unbiased simulation of stochastic differential equations
- saarc |
- 2024-05-08 11:20:36|
- 202
- 2024-05-08 11:20:36|
- 일시
- 2024.05.21.(Tue.) 16:00-17:00
- 장소
- Rm.1401
- 연사
- 김바라 교수
-Title: Unbiased simulation of stochastic differential equations
-Abstract: This presentation focuses on unbiased simulation methods for quantities associated with sample paths from stochastic differential equations. Unbiased simulation methods can be found by changing probability measures with appropriately selecting the Radon-Nikodym derivative processes. I propose an unbiased Monte-Carlo simulation method that can be used even when the Girsanov kernel for the change of probability measures is not bounded. Then, I illustrate its practical application through an example involving unbiased Monte Carlo simulation for pricing the continuously averaging arithmetic Asian options under the Black-Scholes model.
-Abstract: This presentation focuses on unbiased simulation methods for quantities associated with sample paths from stochastic differential equations. Unbiased simulation methods can be found by changing probability measures with appropriately selecting the Radon-Nikodym derivative processes. I propose an unbiased Monte-Carlo simulation method that can be used even when the Girsanov kernel for the change of probability measures is not bounded. Then, I illustrate its practical application through an example involving unbiased Monte Carlo simulation for pricing the continuously averaging arithmetic Asian options under the Black-Scholes model.
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