Quasi-Monte Carlo Methods for Option Pricing
Date Issued
2005
Date
2005
Author(s)
Chen, Yi-Ting
DOI
en-US
Abstract
Monte Carlo simulation has proved to be a valuable tool for estimating security prices for which closed form solutions do not exist. This thesis evaluate the Quasi-Monte Carlo method that has attractive properties for the numerical valuation of derivatives and examines the use of Monte Carlo simulation with low-discrepancy sequences for valuing derivatives versus the traditional Monte Carlo method using pseudo-random sequences.
The relative performance of the methods is evaluated based on three financial securities pricing problems: European call options, rainbow options, and Asian options.
The relative performance of the methods is evaluated based on three financial securities pricing problems: European call options, rainbow options, and Asian options.
Subjects
蒙地卡羅
選擇權定價
Quasi-Monte Carlo
Option Pricing
Type
thesis
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