Pricing arithmetic average options and basket options using Monte Carlo and Quasi-Monte methods

Maria Giuseppina Bruno () and Antonio Grande ()
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Maria Giuseppina Bruno: Department of Methods and Models for Economics, Territory and Finance, Sapienza University of Rome (Italy)
Antonio Grande: Department of Methods and Models for Economics, Territory and Finance, Sapienza University of Rome (Italy)

No 143/15, Working Papers from Sapienza University of Rome, Metodi e Modelli per l'Economia, il Territorio e la Finanza MEMOTEF

Abstract: In the present paper, we address the evaluation problem of multidimensional financial options. We apply in particular the Monte Carlo and Sobol QuasiMonte Carlo numerical integration for pricing asian arithmetic average options and basket options and we show some numerical exemplifications in 4 and 12 dimensions. The paper is the occasion to furtherly test the algorithm for computing the quantile function of the standard gaussian distribution proposed by the authors in a previous publication.

Keywords: Monte Carlo and Quasi-Monte Carlo numerical integration; Multidimensional financial options; Sobol low discrepancy sequences; Quantile function. (search for similar items in EconPapers)
JEL-codes: C02 C63 C65 G13 (search for similar items in EconPapers)
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