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Option pricing via simulation methods

xiki - Posted on 29 December 2015

Project Description: 

This project is to explore an efficient method for pricing complex options which are highly liquid in the market. Some existing methods can improve the traditional algorithm in terms of performance by as high as 100 times or as low as a few percents. But they are still not efficient enough for high dimensional setting. We are trying to modify and combine those methods to build a program that can manage assets of scale up to a 100 or more.

Researcher name: 
Siu Pang Yung
Researcher position: 
Associate Professor
Researcher department: 
Department of Mathematics
Researcher email: 
spyung@hku.hk
Research Project Details
Project Duration: 
11/2015 to 11/2016
Project Significance: 
One possible outcome would be an efficient method to price complex options which cannot be handled satisfactorily now due to the high dimensionality. As those product are traded very liquidly every day in the market, the result will be helpful for determination of their prices and spot any mispricing.
Results Achieved: 
N/A.
Remarks: 
HPC can reduce the trial time by a significant amount as the computation is costly and time-consuming. This helps testing the correctness of the modified methods therefore we can make revision as soon as the result is output.