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

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Date
2012Author
Mehrdoust, Farshid
Vajargah, Kianoush Fathi
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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.
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