An Efficient Quasi-Monte Carlo Simulation for Pricing Asian Options under Heston's Model
چکیده
چکیدهای برای این سند ثبت نشده است.
اسناد مشابه
Pricing and Hedging Asian Basket Options with Quasi-Monte Carlo Simulations
In this article we consider the problem of pricing and hedging high-dimensional Asian basket options by Quasi-Monte Carlo simulation. We assume a Black-Scholes market with time-dependent volatilities and show how to compute the deltas by the aid of the Malliavin Calculus, extendi
Applications of Monte Carlo/Quasi-Monte Carlo Methods in Finance: Option Pricing
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
Comparisons of alternative quasi-Monte Carlo sequences for American option pricing
Quasi-Monte Carlo sequences have been shown to provide accurate option price approximations for a variety of options. In this paper, we apply quasi-Monte Carlo sequences in a duality approach to value American options. We compare the results using different low discrepancy sequen
A Randomized Quasi-Monte Carlo Simulation Method for Markov Chains
We introduce and study a randomized quasi-Monte Carlo method for estimating the state distribution at each step of a Markov chain. The number of steps in the chain can be random and unbounded. The method simulates n copies of the chain in parallel, using a (d + 1)-dimensional hig
Implementing quasi-Monte Carlo simulations with linear transformations
Pricing exotic multi-asset path-dependent options requires extensive Monte Carlo simulations. In the recent years the interest to the Quasi-monte Carlo technique has been renewed and several results have been proposed in order to improve its efficiency with the notion of effectiv
Monte Carlo Simulation for American Options
This paper reviews the basic properties of American options and the difficulties of applying Monte Carlo valuation to American options. Asymptotic results by Keller and co-workers are described for the singularity in the early exercise boundary for time t near the final time T .