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A short introduction to quasi-Monte Carlo option pricing

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  • Gunther Leobacher

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.

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  • Gunther Leobacher, 2017. "A short introduction to quasi-Monte Carlo option pricing," Papers 1707.04293, arXiv.org, revised Jul 2017.
    • Handle: RePEc:arx:papers:1707.04293
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    References listed on IDEAS

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    1. Michael B. Giles, 2008. "Multilevel Monte Carlo Path Simulation," Operations Research, INFORMS, vol. 56(3), pages 607-617, June.
    2. Athanassios N. Avramidis & Pierre L'Ecuyer, 2006. "Efficient Monte Carlo and Quasi-Monte Carlo Option Pricing Under the Variance Gamma Model," Management Science, INFORMS, vol. 52(12), pages 1930-1944, December.
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