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Quasi-Monte Carlo Methods for Option Pricing

Quasi-Monte Carlo Methods for Option Pricing. Agenda. 1.Introduction 2.Low Discrepancy Sequences 3.Conclusions. 1.Introduction. Monte Carlo (MC) Monte Carlo is flexible but still have the deficiency of convergence speed. Quasi-Monte Carlo Methods. GBM. Pseudo Random Numbers.

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327 views • 31 slides

Quasi-random Number Generators for Parallel Monte Carlo Algorithms

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280 views • 12 slides

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Quasi-Monte Carlo Methods for Option Pricing

Quasi-random Number Generators for Parallel Monte Carlo Algorithms