Abstract
This paper provides a novel and general framework for the problem of searching parameter space in Monte Carlo simulations. We propose a deterministic online algorithm and a randomized online algorithm to search for suitable parameter values for derivative pricing which are needed to achieve desired precisions. We also give the competitive ratios of the two algorithms and prove the optimality of the algorithms. Experimental results on the performance of the algorithms are presented and analyzed as well. (C) 2015 Elsevier B.V. and Association of European Operational Research Societies (EURO) within the International Federation of Operational Research Societies (IFORS). All rights reserved.