IDEAS home Printed from
   My bibliography  Save this paper

Aplicação da Amostragem por Importância à Simulação de Opções Asiáticas Fora do Dinheiro


  • Jaqueline Terra Moura Marins


According to previous results, the main variance reduction techniques performed well during the Monte Carlo simulation of Asian calls (Marins, Santos e Saliby, 2003). Control Variate best performed in terms of the precision of the estimates, whereas Descriptive Sampling was the fastest technique. However, a performance deterioration was noted as the exercise probability of the Asian calls was decreased, or equivalently, as these calls became out of the money. In this the out of the money region, the call exercise becomes a rare event and the simulation process remains injured. One possible solution is to implement Importance Sampling, which is a specific technique to deal with rare event simulation problems. This technique has already performed well in the out of the money European call simulation case (Saliby, Marins and Santos, 2005). Therefore, the objective of this article is to use Importance Sampling in the simulation out of the money Asian calls, in order to verify if the precision of the estimates is preserved. It is also implemented a combination of Importance Sampling with the two previously mentioned best techniques, Control Variate and Descriptive Sampling. According to the main findings, Importance Sampling was not only crucial to allow simulation in the out of the money region, but also to provide additional precision gains when combined with the two other techniques.

Suggested Citation

  • Jaqueline Terra Moura Marins, 2007. "Aplicação da Amostragem por Importância à Simulação de Opções Asiáticas Fora do Dinheiro," Working Papers Series 153, Central Bank of Brazil, Research Department.
  • Handle: RePEc:bcb:wpaper:153

    Download full text from publisher

    File URL:
    Download Restriction: no

    More about this item

    NEP fields

    This paper has been announced in the following NEP Reports:


    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:bcb:wpaper:153. 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: (Francisco Marcos Rodrigues Figueiredo). 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.