Quasi-Monte Carlo Method in Pricing Barrier Options

• Autorzy: Tomasz Oczadły
• Języki publikacji: EN

Abstrakty

EN

Chapter 10 shows the basic idea of quasi-Monte Carlo methods. These methods differ from ordinary Monte Carlo method in that they make no attempt to mimic randomness. They are based on the idea that random Monte Carlo techniques can often be improved by replacing the underlying source of random numbers with a more uniformly distributed deterministic sequence. Low-discrepancy methods have the potential to accelerate convergence under appropriate conditions. In an example using randomized quasi-Monte Carlo methods it was possible to achieve faster convergence of the option price. (fragment of text)

Słowa kluczowe

EN

Monte Carlo method; Options pricing; Financial risk management

PL

Metoda Monte Carlo; Wycena opcji; Zarządzanie ryzykiem finansowym

• Czasopismo: FindEcon Monograph Series : advances in financial market analysis
• Rocznik: 2006
• Numer: nr 2 Financial markets : principles of modeling forecasting and decision-making
• Strony: 169--181

Twórcy

autor

Tomasz Oczadły

• Wrocław University of Economics, Poland

Bibliografia

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