Pricing arithmetic average options and basket options using Monte Carlo and Quasi-Monte Carlo methods

Bruno, Maria Giuseppina and Grande, Antonio (2015) Pricing arithmetic average options and basket options using Monte Carlo and Quasi-Monte Carlo methods. Working Paper. MEMOTEF, Roma.

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Abstract

In the present paper, we address the evaluation problem of multidimensional financial options. We apply in particular the Monte Carlo and Sobol Quasi-Monte Carlo numerical integration for pricing asian arithmetic average options and basket options and we show some numerical exemplifications in 4 and 12 dimensions. The paper is the occasion to furtherly test the algorithm for computing the quantile function of the standard gaussian distribution proposed by the authors in a previous publication.

Item Type:	Monograph (Working Paper)
Additional Information:	Fa parte della collana Working Paper del Dipartimento di Metodi e Modelli per l’Economia il Territorio e la Finanza MEMOTEF, Facoltà di Economia, ISSN 2239-608X
Uncontrolled Keywords:	Monte Carlo and Quasi-Monte Carlo numerical integration; Multidimensional financial options; Sobol low discrepancy sequences; Quantile function
Subjects:	500 Scienze naturali e Matematica > 510 Matematica > 518 Analisi numerica (Classificare qui l’Analisi numerica applicata, il Calcolo numerico, la Matematica numerica) > 518.1 Algoritmi 500 Scienze naturali e Matematica > 510 Matematica > 519 Probabilità e Matematica applicata 500 Scienze naturali e Matematica > 510 Matematica > 519 Probabilità e Matematica applicata > 519.2 Probabilità (Classificare qui le probabilità condizionali, il Calcolo delle probabilità, la probabilità geometrica) > 519.23 Processi aleatori (processi stocastici)
Depositing User:	Prof. Maria Giuseppina Bruno
Date Deposited:	21 Dec 2015 08:47
Last Modified:	21 Dec 2015 08:47
URI:	http://eprints.bice.rm.cnr.it/id/eprint/11894

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Pricing arithmetic average options and basket options using Monte Carlo and Quasi-Monte Carlo methods. (deposited 21 Dec 2015 08:47) [Currently Displayed]
- Pricing arithmetic average options and basket options using Monte Carlo and Quasi-Monte Carlo methods. (deposited 21 Dec 2015 08:53)

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