Option Pricing Using Quasi-Monte Carlo Simulation
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F830.9

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    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.

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张天永,彭隆泽.期权价格的拟Monte Carlo仿真计算[J].土木与环境工程学报(中英文),2005,27(4):111~114

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  • Received:
  • Revised:April 12,2005
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