A short introduction to quasi-Monte Carlo option pricing
Computational Finance
2017-07-18 v2 Numerical Analysis
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.
Keywords
Cite
@article{arxiv.1707.04293,
title = {A short introduction to quasi-Monte Carlo option pricing},
author = {Gunther Leobacher},
journal= {arXiv preprint arXiv:1707.04293},
year = {2017}
}