Randomized quasi-Monte Carlo methods in pricing securities

被引:38
作者
Ökten, G
Eastman, W
机构
[1] Ball State Univ, Dept Math Sci, Muncie, IN 47306 USA
[2] Avion Test & Anal Corp, Niceville, FL 32578 USA
关键词
randomized quasi-Monte Carlo; Box-Muller; option pricing;
D O I
10.1016/j.jedc.2003.11.003
中图分类号
F [经济];
学科分类号
02 ;
摘要
Today quasi-Monte Carlo methods are used successfully in computational finance and economics as an alternative to the Monte Carlo method. One drawback of these methods, however, is the lack of a practical way of error estimation. To address this issue several researchers introduced the so-called randomized quasi-Monte Carlo methods in the last decade. In this paper we will present a survey of randomized quasi-Monte Carlo methods, and compare their efficiencies with the efficiency of the Monte Carlo method in pricing certain securities. We will also investigate the effects of Box-Muller and inverse transformation techniques when they are applied to low-discrepancy sequences. (C) 2004 Elsevier B.V. All rights reserved.
引用
收藏
页码:2399 / 2426
页数:28
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