Reduction error in Asian option pricing based on partition Monte Carlo method
Abstract
Monte Carlo simulation is the use of experiments with random numbers to evaluate mathematical expressions. The base experimental units are random numbers. The expressions may be definite integrals, systems of equations and financial engineering. In problems of moderate dimensions, quasi-Monte Carlo method usually provides better estimates than the Monte Carlo method. In this paper, we study Faure sequence(Faure sequence is low-discrepancy sequence), and introduce partition Monte Carlo and we employ to obtain significant improvement in Asian option price model.
- Published
- 9 October 2014
- Volume
- 2014 (2014)
- License
- CC BY 3.0
Copyright © 2014 Behrouz Fathi-Vajargah, Ali.A. L_Zadeh. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.
Cite this article
B. Fathi-Vajargah, A. A. L_Zadeh, Reduction error in Asian option pricing based on partition Monte Carlo method, Math. Finance Lett. 2014 (2014), 8.
BibTeX
@article{Fathi-Vajargah2014,
author = {Fathi-Vajargah, Behrouz and L_Zadeh, Ali.A.},
title = {Reduction error in Asian option pricing based on partition Monte Carlo method},
journal = {Math. Finance Lett.},
volume = {2014},
year = {2014},
pages = {8},
doi = {}
}