A MIXED MONTE CARLO AND QUASI-MONTE CARLO METHOD WITH APPLICATIONS TO MATHEMATICAL FINANCE

被引：0

作者：

Rosca, Alin, V ^{[1
]}

机构：

[1] Babes Bolyai Univ, Fac Econ & Business Adm, Str Teodor Mihali 58-60, Cluj Napoca, Romania

来源：

STUDIA UNIVERSITATIS BABES-BOLYAI MATHEMATICA | 2008年 / 53卷 / 04期

关键词：

Monte Carlo integration; Quasi-Monte Carlo integration; normal inverse Gaussian distribution; H-discrepancy; H-distributed low-discrepancy sequences; H-mixed sequences; option pricing;

D O I：

暂无

中图分类号：

O1 [数学];

学科分类号：

0701 ; 070101 ;

摘要：

In this paper, we apply a mixed Monte Carlo and Quasi-Monte Carlo method, which we proposed in a previous paper, to problems from mathematical finance. We estimate the value of an European Call option and of an Asian option using our mixed method, under different horizont times. We assume that the stock price of the underlaying asset S = S(t) is driven by a Levy process L(t). We compare our estimates with the estimates obtained by using the Monte Carlo and Quasi-Monte Carlo methods. Numerical results show that a considerable improvement can be achieved by using the mixed method.

引用

页码：57 / 76

页数：20

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