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Author
Oczadły Tomasz (Wrocław University of Economics, Poland)
Title
Quasi-Monte Carlo Method in Pricing Barrier Options
Source
FindEcon Monograph Series : advances in financial market analysis, 2006, nr 2, s. 169-181, rys., tab., bibliogr. s. 181
Issue title
Financial markets : principles of modeling forecasting and decision-making
Keyword
Metoda Monte Carlo, Wycena opcji, Zarządzanie ryzykiem finansowym
Monte Carlo method, Options pricing, Financial risk management
Abstract
Chapter 10 shows the basic idea of quasi-Monte Carlo methods. These methods differ from ordinary Monte Carlo method in that they make no attempt to mimic randomness. They are based on the idea that random Monte Carlo techniques can often be improved by replacing the underlying source of random numbers with a more uniformly distributed deterministic sequence. Low-discrepancy methods have the potential to accelerate convergence under appropriate conditions. In an example using randomized quasi-Monte Carlo methods it was possible to achieve faster convergence of the option price. (fragment of text)
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Bibliography
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Language
eng
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