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Asian options are of particular importance for commodity products which have low trading volumes (e.g. crude oil), since price manipulation is inhibited. Hence, the pricing of such options becomes one of the most interesting fields. Since there are no known closed form analytical solutions to arithmetic average Asian options, many numerical methods are applied. This paper deals with pricing of ...

There have been few studies on practical error estimation methods of quasi-Monte Carlo integrations. Recently, some theoretical works were developed by Owen to analyze the quasi-Monte Carlo integration error. However his method given by those works is complicated to be implemented and needs huge computational e orts, so it would be of some interest to investigate into a simple error estimation ...

We review and discuss some recent progress on the theory of Markov chain Monte Carlo applications, particularly oriented to applications in statistics. We attempt to assess the relevance of this theory for practical applications.

This paper has several folds. We make first new permutation choices in Halton sequences to improve their distributions. These choices are multi-dimensional and they are made for two different discrepancies. We show that multi-dimensional choices are better for standard quasi-Monte Carlo methods. We also use these sequences as a variance reduction technique in Monte Carlo methods, which greatly ...

In this report, we revisit the work of Pilleboue et al. [2015], providing a representation-theoretic derivation of the closed-form expression for the expected value and variance in homogeneous Monte Carlo integration. We show that the results obtained for the variance estimation of Monte Carlo integration on the torus, the sphere, and Euclidean space can be formulated as specific instances of a...

We present an efficient particle simulation method for the Boltzmann transport equation based on the low-variance deviational simulation Monte Carlo approach to the variable-hard-sphere gas. The proposed method exhibits drastically reduced statistical uncertainty for low-signal problems compared to standard particle methods such as the direct simulation Monte Carlo method. We show that by enfor...

This article reports on the contents of a tutorial session at MCQMC 2008. The tutorial explored various places in statistics where Monte Carlo methods can be used. There was a special emphasis on areas where Quasi-Monte Carlo ideas have been or could be applied, as well as areas that look like they need more research.

This article reports on the contents of a tutorial session at MCQMC 2008. The tutorial explored various places in statistics where Monte Carlo methods can be used. There was a special emphasis on areas where Quasi-Monte Carlo ideas have been or could be applied, as well as areas that look like they need more research.