Theory and Construction of Quasi-Monte Carlo Rules for Asian Option Pricing and Density Estimation

被引：0
|
作者：
Gilbert, Alexander D. [1 ]
Kuo, Frances Y. [1 ]
Sloan, Ian H. [1 ]
Srikumar, Abirami [1 ]
机构：
[1] UNSW Sydney, Sch Math & Stat, Sydney, NSW 2052, Australia
来源：
MONTE CARLO AND QUASI-MONTE CARLO METHODS, MCQMC 2022 | 2024年 / 460卷
关键词：
Option pricing; quasi-Monte Carlo; Randomly shifted lattice rule; Preintegration; Conditional sampling; SPACES;
D O I：
10.1007/978-3-031-59762-6_13
中图分类号：
O29 [应用数学];
学科分类号：
070104 ;
摘要：
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.
引用
收藏
页码：277 / 295
页数：19
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