A short introduction to quasi-Monte Carlo option pricing

Published 13 Jul 2017 in q-fin.CP and math.NA | (1707.04293v2)

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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Authors (1)

Gunther Leobacher

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