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
相关论文
共 50 条
  • [41] Quasi-Monte Carlo Software
    Choi, Sou-Cheng T.
    Hickernell, Fred J.
    Jagadeeswaran, Rathinavel
    McCourt, Michael J.
    Sorokin, Aleksei G.
    MONTE CARLO AND QUASI-MONTE CARLO METHODS, MCQMC 2020, 2022, 387 : 23 - 47
  • [42] Population Quasi-Monte Carlo
    Huang, Chaofan
    Joseph, V. Roshan
    Mak, Simon
    JOURNAL OF COMPUTATIONAL AND GRAPHICAL STATISTICS, 2022, 31 (03) : 695 - 708
  • [43] Langevin Quasi-Monte Carlo
    Liu, Sifan
    ADVANCES IN NEURAL INFORMATION PROCESSING SYSTEMS 36 (NEURIPS 2023), 2023,
  • [44] On quasi-Monte Carlo integrations
    Sobol, IM
    MATHEMATICS AND COMPUTERS IN SIMULATION, 1998, 47 (2-5) : 103 - 112
  • [45] On Monte Carlo and Quasi-Monte Carlo for Matrix Computations
    Alexandrov, Vassil
    Davila, Diego
    Esquivel-Flores, Oscar
    Karaivanova, Aneta
    Gurov, Todor
    Atanassov, Emanouil
    LARGE-SCALE SCIENTIFIC COMPUTING, LSSC 2017, 2018, 10665 : 249 - 257
  • [46] Monte Carlo and quasi-Monte Carlo methods - Preface
    Spanier, J
    Pengilly, JH
    MATHEMATICAL AND COMPUTER MODELLING, 1996, 23 (8-9) : R11 - R13
  • [47] Error in Monte Carlo, quasi-error in Quasi-Monte Carlo
    Kleiss, Ronald
    Lazopoulos, Achilleas
    COMPUTER PHYSICS COMMUNICATIONS, 2006, 175 (02) : 93 - 115
  • [48] Quasi-Monte Carlo-Based Conditional Malliavin Method for Continuous-Time Asian Option Greeks
    Yu, Chao
    Wang, Xiaoqun
    COMPUTATIONAL ECONOMICS, 2023, 62 (01) : 325 - 360
  • [49] Quasi-Monte Carlo rules for numerical integration over the unit sphere
    Brauchart, Johann S.
    Dick, Josef
    NUMERISCHE MATHEMATIK, 2012, 121 (03) : 473 - 502
  • [50] Quasi-Monte Carlo method in population genetics parameter estimation
    Chi, Hongmei
    Beerli, Peter
    MATHEMATICS AND COMPUTERS IN SIMULATION, 2014, 103 : 33 - 38
12345