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

Authors

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

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.

Abstract

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

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Issue

Vol. 69 No. 1 (2021)

Section

Articles