Browsing CourseWare+ by Author "Vajargah, Kianoush Fathi"
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A computational approach to financial option pricing using Quasi Monte Carlo methods via variance reduction techniques
Mehrdoust, Farshid; Vajargah, Kianoush Fathi (Scientific Research, 2012)In this paper, we consider two types of pricing option in financial markets using quasi Monte Carlo algorithm with variance reduction procedures. We evaluate Asian-style and European-style options pricing based on Black-Scholes ...