On the Use of Quasi-Monte Carlo Methods in Computational Finance

We give the background and required tools for applying quasi-Monte Carlo methods efficiently to problems in computational finance, and survey recent developments in this field. We describe methods for pricing european path-dependent options, and also discuss problems involving the estimation of gradients and the simulation of stochastic volatility models.

• Type: Conference
• Year: 2001
• Where: ICCS
• Authors: Christiane Lemieux, Pierre L'Ecuyer
• Keywords: Applied Computing, European Path-dependent Options, ICCS 2001, Quasi-monte Carlo Methods, Stochastic Volatility Models