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    A computational approach to financial option pricing using Quasi Monte Carlo methods via variance reduction techniques

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    Article (103.7Kb)
    Date
    2012
    Author
    Mehrdoust, Farshid
    Vajargah, Kianoush Fathi
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    Abstract
    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 model. Finally, some numerical results presented.
    URI
    http://hdl.handle.net/11071/4259
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