A Computational Approach to Financial Option Pricing Using Quasi Monte Carlo Methods via Variance Reduction Techniques - Journal of Mathematical Finance

JMF > Vol.2 No.2, May 2012

Volume 2, Issue 2 (May 2012)

ISSN Print: 2162-2434 ISSN Online: 2162-2442

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A Computational Approach to Financial Option Pricing Using Quasi Monte Carlo Methods via Variance Reduction Techniques ()

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DOI: 10.4236/jmf.2012.22021 4,866 Downloads 9,887 Views Citations

Author(s)

Farshid Mehrdoust, Kianoush Fathi Vajargah

Affiliation(s)

Department of Applied Mathematics, Faculty of Mathematical Sciences, University of Guilan, Rasht, Iran.
Department of Statistics, Islamic Azad University North Tehran Branch, Tehran, Iran.

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.

KEYWORDS

Financial Mathematics; Option Pricing; Quasi Monte Carlo; Variance Reduction; Brownian Motion; Sobol Sequence

Share and Cite:

F. Mehrdoust and K. Vajargah, "A Computational Approach to Financial Option Pricing Using Quasi Monte Carlo Methods via Variance Reduction Techniques," Journal of Mathematical Finance, Vol. 2 No. 2, 2012, pp. 195-198. doi: 10.4236/jmf.2012.22021.

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