ASIAN OPTION PARAMETERS
SIMULATION CONFIG
PRICING COMPARISON
Monte Carlo
$1.8542
Std Error:
±0.0156
Samples:
10,000
Time:
2.34s
Enhanced MC
$1.8567
Std Error:
±0.0089
Samples:
11,000
Time:
1.67s
PERFORMANCE METRICS
VARIANCE REDUCTION
43.2%
EFFICIENCY GAIN
2.1x
ML CORRELATION
0.73
COST RATIO
0.001
RESEARCH FOUNDATION
Prediction-Enhanced Monte Carlo
arXiv:2412.11257v3
Variance Reduction: 30-55%
Statistical Rigor
Production Ready
DOWNLOAD PAPER
PEMC Estimator:
PEMC = (1/n)Σ[f(Yi) - g(Xi)] + (1/N)Σ[g(X̃j)]
Where f(Y) are expensive simulations and g(X) are cheap ML predictions