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Theory and construction of Quasi-Monte Carlo rules for option pricing and density estimation (2212.11493v2)
Published 22 Dec 2022 in math.NA and cs.NA
Abstract: In this paper we propose and analyse a method for estimating three quantities related to an Asian option: the fair price, the cumulative distribution function, and the probability density. The method involves preintegration with respect to one well chosen integration variable to obtain a smooth function of the remaining variables, followed by the application of a tailored lattice Quasi-Monte Carlo rule to integrate over the remaining variables.