Standard ways of improving the effectiveness of the Monte-Carlo method.
Description
A well-known numerical method for the valuation of European style financial derivatives is the Monte-Carlo method. Investigate the efficiency and accuracy of Monte-Carlo for the valuation of a standard European call option for a range of initial asset values ranging from deeply out of the money to deeply in the money. Research the standard ways of improving the effectiveness of the Monte-Carlo method and implement and test some of these enhancements reporting on your results.
Standard ways of improving the effectiveness of the Monte-Carlo method