A Computational Approach to Financial Option Pricing Using Quasi Monte Carlo Methods via Variance Reduction Techniques

Farshid Mehrdoust, Kianoush Fathi Vajargah

Department of Applied Mathematics, Faculty of Mathematical Sciences, University of Guilan, Rasht, Iran.
Department of Statistics, Islamic Azad University North Tehran Branch, Tehran, Iran.

DOI: 10.4236/jmf.2012.22021                

Abstract

In this paper, we consider two types of pricing option in financial markets using quasi Monte Carlo algorithm with variance reduction procedures. We evaluate Asian-style and European-style options pricing based on Black-Scholes model. Finally, some numerical results presented.

Keywords

Financial Mathematics; Option Pricing; Quasi Monte Carlo; Variance Reduction; Brownian Motion; Sobol Sequence

Conflicts of Interest

The authors declare no conflicts of interest.

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