A short introduction to quasi-Monte Carlo option pricing

Gunther Leobacher

Papers from arXiv.org

Abstract: One of the main practical applications of quasi-Monte Carlo (QMC) methods is the valuation of financial derivatives. We aim to give a short introduction into option pricing and show how it is facilitated using QMC. We give some practical examples for illustration.

Date: 2017-07, Revised 2017-07
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