A Comparative Analysis of Monte Carlo and Quasi-Monte Carlo Methods in Financial Derivative Pricing

S. M. Arif Hossen, A B M Shahadat Hossain

Abstract


A Comparative Analysis of Monte Carlo and Quasi-Monte Carlo Methods in Financial Derivative Pricing

Keywords


Monte Carlo (MC) method, Quasi-Monte Carlo (QMC) method, European option, American option, Asian option, Barrier option, Pseudorandom number, Halton sequence, Sobol sequence, Black Scholes model.

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Dhaka University Journal of Science ISSN 1022-2502 (Print) 2408-8528 (Online)