文章基本信息

标题：A Computational Approach to Financial Option Pricing Using Quasi Monte Carlo Methods via Variance Reduction Techniques
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作者：Farshid Mehrdoust ; Kianoush Fathi Vajargah
期刊名称：Journal of Mathematical Finance
印刷版ISSN：2162-2434
电子版ISSN：2162-2442
出版年度：2012
卷号：2
期号：2
页码：195-198
DOI：10.4236/jmf.2012.22021
出版社：Scientific Research Publishing
摘要：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.
关键词：Financial Mathematics; Option Pricing; Quasi Monte Carlo; Variance Reduction; Brownian Motion; Sobol Sequence