A computational approach to financial option pricing using Quasi Monte Carlo methods via variance reduction techniques
Date
2012
Authors
Mehrdoust, Farshid
Vajargah, Kianoush Fathi
Journal Title
Journal ISSN
Volume Title
Publisher
Scientific Research
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.
Description
Journal article
Keywords
Financial Mathematics, Option Pricing, Quasi Monte Carlo, Variance Reduction, Brownian Motion, Sobol Sequence