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- and European- 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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