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 JMF  Vol.2 No.2 , May 2012
A Computational Approach to Financial Option Pricing Using Quasi Monte Carlo Methods via Variance Reduction Techniques
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.
Cite this paper: 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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