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A Computational Approach to Financial Option Pricing Using Quasi Monte Carlo Methods via Variance Reduction Techniques
Department of Applied Mathematics, Faculty of Mathematical Sciences, University of Guilan, Rasht, Iran
Department of Statistics, Islamic Azad University North Tehran Branch, Tehran, Iran
- 1 Department of Applied Mathematics, Faculty of Mathematical Sciences, University of Guilan, Rasht, Iran
- 2 Department of Statistics, Islamic Azad University North Tehran Branch, Tehran, Iran
Journal of Mathematical Finance·Volume 02 (2012)·Pages 195–198·Published 23 May 2012·DOI10.4236/jmf.2012.22021
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Abstract
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.
KeywordsFinancial MathematicsOption PricingQuasi Monte CarloVariance ReductionBrownian MotionSobol Sequence
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