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

页码：277 / 295

页数：19

共 50 条

[21] Conditional quasi-Monte Carlo methods and dimension reduction for option pricing and hedging with discontinuous functions
Xiao, Ye
Wang, Xiaoqun
JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS, 2018, 343 : 289 - 308
[22] AN ACCELERATING QUASI-MONTE CARLO METHOD FOR OPTION PRICING UNDER THE GENERALIZED HYPERBOLIC LEVY PROCESS
Imai, Junichi
Tan, Ken Seng
SIAM JOURNAL ON SCIENTIFIC COMPUTING, 2009, 31 (03): : 2282 - 2302
[23] Discrepancy Theory and Quasi-Monte Carlo Integration
Dick, Josef
Pillichshammer, Friedrich
PANORAMA OF DISCREPANCY THEORY, 2014, 2107 : 539 - 619
[24] Accuracy estimation for quasi-Monte Carlo simulations
Snyder, WC
MATHEMATICS AND COMPUTERS IN SIMULATION, 2000, 54 (1-3) : 131 - 143
[25] Proof techniques in quasi-Monte Carlo theory
Dick, Josef
Hinrichs, Aicke
Pillichshammer, Friedrich
JOURNAL OF COMPLEXITY, 2015, 31 (03) : 327 - 371
[26] IMPROVED MONTE CARLO AND QUASI-MONTE CARLO METHODS FOR THE PRICE AND THE GREEKS OF ASIAN OPTIONS
Dingec, Kemal Dincer
Hormann, Wolfgang
PROCEEDINGS OF THE 2014 WINTER SIMULATION CONFERENCE (WSC), 2014, : 441 - 452
[27] A note on concatenation of quasi-Monte Carlo and plain Monte Carlo rules in high dimensions
Goda, Takashi
JOURNAL OF COMPLEXITY, 2022, 72
[28] FAST ORTHOGONAL TRANSFORMS FOR PRICING DERIVATIVES WITH QUASI-MONTE CARLO
Irrgeher, Christian
Leobacher, Gunther
2012 WINTER SIMULATION CONFERENCE (WSC), 2012,
[29] Monte Carlo and Quasi-Monte Carlo for Statistics
Owen, Art B.
MONTE CARLO AND QUASI-MONTE CARLO METHODS 2008, 2009, : 3 - 18
[30] Numerical smoothing with hierarchical adaptive sparse grids and quasi-Monte Carlo methods for efficient option pricing
Bayer, Christian
Ben Hammouda, Chiheb
Tempone, Raul
QUANTITATIVE FINANCE, 2023, 23 (02) : 209 - 227

← 1 2 3 4 5 →