A MIXED MONTE CARLO AND QUASI-MONTE CARLO METHOD WITH APPLICATIONS TO MATHEMATICAL FINANCE

被引：0

作者：

Rosca, Alin, V ^{[1
]}

机构：

[1] Babes Bolyai Univ, Fac Econ & Business Adm, Str Teodor Mihali 58-60, Cluj Napoca, Romania

来源：

STUDIA UNIVERSITATIS BABES-BOLYAI MATHEMATICA | 2008年 / 53卷 / 04期

关键词：

Monte Carlo integration; Quasi-Monte Carlo integration; normal inverse Gaussian distribution; H-discrepancy; H-distributed low-discrepancy sequences; H-mixed sequences; option pricing;

D O I：

暂无

中图分类号：

O1 [数学];

学科分类号：

0701 ; 070101 ;

摘要：

In this paper, we apply a mixed Monte Carlo and Quasi-Monte Carlo method, which we proposed in a previous paper, to problems from mathematical finance. We estimate the value of an European Call option and of an Asian option using our mixed method, under different horizont times. We assume that the stock price of the underlaying asset S = S(t) is driven by a Levy process L(t). We compare our estimates with the estimates obtained by using the Monte Carlo and Quasi-Monte Carlo methods. Numerical results show that a considerable improvement can be achieved by using the mixed method.

引用

页码：57 / 76

页数：20

共 50 条

[1] Acceleration of quasi-Monte Carlo approximations with applications in mathematical finance
Severino, JS
Allen, EJ
Victory, HD
APPLIED MATHEMATICS AND COMPUTATION, 2004, 148 (01) : 173 - 187
[2] Quasi-Monte Carlo methods with applications in finance
L'Ecuyer, Pierre
FINANCE AND STOCHASTICS, 2009, 13 (03) : 307 - 349
[3] Applications of Monte Carlo quasi-Monte Carlo methods in finance: Option pricing
Lai, YZ
Spanier, J
MONTE CARLO AND QUASI-MONTE CARLO METHODS 1998, 2000, : 284 - 295
[4] Quasi-Monte Carlo methods with applications in finance
Pierre L’Ecuyer
Finance and Stochastics, 2009, 13 : 307 - 349
[5] Monte Carlo, quasi-Monte Carlo, and randomized quasi-Monte Carlo
Owen, AB
MONTE CARLO AND QUASI-MONTE CARLO METHODS 1998, 2000, : 86 - 97
[6] MATHEMATICAL BASIS OF MONTE CARLO AND QUASI-MONTE CARLO METHODS
ZAREMBA, SK
SIAM REVIEW, 1968, 10 (03) : 303 - &
[7] Quasi-Monte Carlo methods in finance
L'Ecuyer, P
PROCEEDINGS OF THE 2004 WINTER SIMULATION CONFERENCE, VOLS 1 AND 2, 2004, : 1645 - 1655
[8] Monte Carlo and Quasi-Monte Carlo for Statistics
Owen, Art B.
MONTE CARLO AND QUASI-MONTE CARLO METHODS 2008, 2009, : 3 - 18
[9] Monte Carlo extension of quasi-Monte Carlo
Owen, AB
1998 WINTER SIMULATION CONFERENCE PROCEEDINGS, VOLS 1 AND 2, 1998, : 571 - 577
[10] Quasi-Monte Carlo methods in numerical finance
Manage Sci, 6 (926):

← 1 2 3 4 5 →