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

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dc.contributor.authorMehrdoust, Farshid
dc.contributor.authorVajargah, Kianoush Fathi
dc.date.accessioned2016-02-25T14:32:36Z
dc.date.available2016-02-25T14:32:36Z
dc.date.issued2012
dc.descriptionJournal articleen_US
dc.description.abstractIn 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.en_US
dc.identifier.urihttp://hdl.handle.net/11071/4259
dc.language.isoenen_US
dc.publisherScientific Researchen_US
dc.subjectFinancial Mathematicsen_US
dc.subjectOption Pricingen_US
dc.subjectQuasi Monte Carloen_US
dc.subjectVariance Reductionen_US
dc.subjectBrownian Motionen_US
dc.subjectSobol Sequenceen_US
dc.titleA computational approach to financial option pricing using Quasi Monte Carlo methods via variance reduction techniquesen_US
dc.typeArticleen_US
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