Option pricing in the Kou model using Quasi-Monte Carlo point sets

The aim of this paper is to present ways of pricing financial derivatives in the Kou Model, [9], [10], using Quasi-Monte Carlo Methods. Quasi-Monte Carlo Methods have been applied successfully to the Black-Scholes model, e.g. [3], and also to some Lévy processes, e.g. [8], [11], [13], [2] and [16]. The Kou model can be considered to be an interesting model in its own right, however it is also a special case of the class of jump-diffusion processes, see e.g. [5]. Jump-diffusion processes can be regarded as an important class of stochastic processes for finance, as they are used to approximate Lévy processes one cannot simulate directly, see e.g. [1] for general results and [15] for an application to finance.