IDEAS home Printed from
   My bibliography  Save this article

Les bandes de Bollinger comme technique de réduction de la variance des prix d’options sur obligations obtenus par la simulation de Monte-Carlo


  • Théoret, Raymond

    (École des sciences de la gestion)

  • Rostan, Pierre

    (Audencia, École de management)


In this paper, we propose a new variance reduction technique to speed up the convergence during a Monte-Carlo simulation : Bollinger Bands. Beside being used in technical analysis, we show how Bollinger Bands can filter the extreme variations appearing during a simulation. We apply this technique in conjunction with the Fong and Vasicek model to price bond options (OBK) traded at the Montreal Exchange. The MSE is drastically reduced when adding Bollinger Bands to the simulation. In addition, the Fong and Vasicek model in conjunction with the Bollinger Band-based technique performs very well compared to the Black, Derman and Toy model, a widespread model among professionals. Dans cet article, nous proposons une nouvelle technique de réduction de la variance d’une simulation : les bandes de Bollinger. Nous montrons comment le recours aux bandes de Bollinger, une procédure utilisée en analyse technique, peut accroître considérablement la performance d’une simulation de Monte-Carlo en termes de réduction de la variance des simulations. La technique des bandes de Bollinger sert à filtrer les variations extrêmes qui s’observent dans une simulation. Nous appliquons cette technique à la simulation des prix de 38 options sur obligations (OBK) transigées à la Bourse de Montréal, ce en tirant profit du modèle de Fong et Vasicek pour simuler les prix des options. L’erreur quadratique moyenne des simulations se voit réduite considérablement à la suite de l’utilisation des bandes de Bollinger. Le modèle de Fong et Vasicek renforcé par les bandes de Bollinger se compare également très favorablement à celui de Black, Derman et Toy, soit le modèle encore le plus utilisé dans la pratique financière pour évaluer les options sur taux d’intérêt et sur obligations.

Suggested Citation

  • Théoret, Raymond & Rostan, Pierre, 2005. "Les bandes de Bollinger comme technique de réduction de la variance des prix d’options sur obligations obtenus par la simulation de Monte-Carlo," L'Actualité Economique, Société Canadienne de Science Economique, vol. 81(4), pages 693-724, décembre.
  • Handle: RePEc:ris:actuec:v:81:y:2005:i:4:p:693-724

    Download full text from publisher

    File URL:
    Download Restriction: no

    More about this item


    Access and download statistics


    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ris:actuec:v:81:y:2005:i:4:p:693-724. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Bruce Shearer). General contact details of provider: .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.