A Computational Approach to Financial Option Pricing Using Quasi Monte Carlo Methods via Variance Reduction Techniques
نویسندگان
چکیده
منابع مشابه
A Computational Approach to Financial Option Pricing Using Quasi Monte Carlo Methods via Variance Reduction Techniques
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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The pricing of options is a very important problem encountered in nancial markets today. The famous Black-Scholes model provides explicit closed form solutions for the values of certain (European style) call and put options. But for many other options, either there are no closed form solutions, or if such closed form solutions exist, the formulas exhibiting them are complicated and diicult to e...
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ژورنال
عنوان ژورنال: Journal of Mathematical Finance
سال: 2012
ISSN: 2162-2434,2162-2442
DOI: 10.4236/jmf.2012.22021