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Efficient quasi-Monte simulations for pricing high-dimensional path-dependent options

Author

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  • Piergiacomo Sabino

Abstract

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Suggested Citation

  • Piergiacomo Sabino, 2009. "Efficient quasi-Monte simulations for pricing high-dimensional path-dependent options," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 32(1), pages 49-65, May.
    • Handle: RePEc:spr:decfin:v:32:y:2009:i:1:p:49-65
    DOI: 10.1007/s10203-009-0084-9
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    References listed on IDEAS

    as
    1. P. Pellizzari, 1998. "Efficient Monte Carlo Pricing of Basket Options," Finance 9801001, University Library of Munich, Germany.
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    Citations

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    Cited by:

    1. Maria Giuseppina Bruno & Antonio Grande, "undated". "Pricing arithmetic average options and basket options using Monte Carlo and Quasi-Monte methods," Working Papers 143/15, Sapienza University of Rome, Metodi e Modelli per l'Economia, il Territorio e la Finanza MEMOTEF.
    2. Frank Wusterhausen, 2015. "An Analysis of Path-Dependent Options," Journal of Optimization Theory and Applications, Springer, vol. 167(3), pages 874-887, December.
    3. Nicola Cufaro Petroni & Piergiacomo Sabino, 2013. "Multidimensional quasi-Monte Carlo Malliavin Greeks," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 36(2), pages 199-224, November.

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    More about this item

    Keywords

    Monte Carlo; Quasi-Monte Carlo; Option pricing; Path-generation techniques; Path-dependent options; C63; G13;
    All these keywords.

    JEL classification:

    • C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing

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