Option Pricing Using Quasi-Monte Carlo Simulation
ZHANG Tian-yong~1,PENG Long-ze~2
DOI:10.11835/j.issn.1674-4764.2005.04.026
Received ,Revised April 12, 2005, Accepted , Available online July 01, 2015
Volume ,2005,Pages 111-114
- Abstract
This paper firstly introduces the method of option pricing using Monte Carlo,then,proposes one kind of Quasi-Monte Carlo Simulation,which uses Halton sequences to improve Monte Carlo Simulation.This paper also introduces generated rule of Halton Low Discrepancy Sequences and Moro algorithm.Finally,the performances of three kinds of Quasi-Monte Carlo method are compared.