Emanuel Olariu

In this paper we investigate a MRAS type algorithm for pricing Bermudanoption. We use three different model for the price dynamics: geometricBrownian, Merton jump-diffusion and a relative new one, namely, the doubleasymmetric exponentially jump-diffusion model. Although MRAS procedureincludes a form of importance sampling we modify the original procedure inorder to implement a sampling importance resampling in two different ways.The numerical results show that both resampling methods give better results,and that using the reference distributions is almost twice as fast as MRASand very reliable offering small confidence intervals.

Full Document (PDF)


author = "Emanuel Olariu",
title = "{Importance Resampling with MRAS algorithm for Bermudan option pricing}",
institution = "``Al.I.Cuza'' University of Ia{c s}i, 
                 Faculty of Computer Science",
year = "2012",
number = "TR 12-01",
note = "URL:http://www.infoiasi.ro/~tr/tr.pl.cgi"