| dc.description.abstract | First of all, we discuss about the major issue of computing the implied volatility for
multiple kinds of options, such as European options, digital options, but most of all
are the over-the-counter (OTC) traded Asian options, via Monte Carlo (MC) methods.
The other method we combine with is the Newton-Raphson (Newton) which helps to
solve the non-linear equations to get the implied volatility.
The optimized results of the methods depend on the accuracy, fast and efficient computation
of the corresponding options’ Vegas. To get those expected results, we utilize
the method of logarithmic derivatives instead of the common classical approach
method to archive the best results. With our simulation justifications, our document
shows that the new method results are much more better than the classical one. Finally,
we indicate the localization and variance reducing can significantly improve the
numerical results of the method.
Keyword: Asian Options, Implied volatility, Exotic options, Monte Carlo Simulation,
Logarithmic derivative, Newton method. | en_US |
