A Computational Approach to Financial Option Pricing Using Quasi Monte Carlo Methods via Variance Reduction Techniques
نویسندگان
چکیده
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.
منابع مشابه
Proceedings of the 2003 Winter Simulation Conference
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تاریخ انتشار 2013