| Option Pricing Using Quasi-Monte Carlo Simulation |
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| 作者姓名： | ZHANG Tian-yong~ PENG Long-ze~ |
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| 摘 要： | This paper firstly introduces the method of option pricing using Monte Carlo,then,proposes one kind of Quasi-Monte Carlo Simulation,which uses Halton sequences to improve Monte Carlo Simulation.This paper also introduces generated rule of Halton Low Discrepancy Sequences and Moro algorithm.Finally,the performances of three kinds of Quasi-Monte Carlo method are compared.
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| 关 键 词： | Quasi-Monte Carlo Simulation Option Pricing Halton Sequences Moro Algorithm |
| 修稿时间： | 2005/4/12 0:00:00 |
Option Pricing Using Quasi-Monte Carlo Simulation |
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| ZHANG Tian-yong,PENG Long-ze.Option Pricing Using Quasi-Monte Carlo Simulation[J].Storage & Process,2005(4):111-114. |
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| Authors: | ZHANG Tian-yong PENG Long-ze |
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| Institution: | ZHANG Tian-yong~,PENG Long-ze~ |
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| Abstract: | This paper firstly introduces the method of option pricing using Monte Carlo,then,proposes one kind of Quasi-Monte Carlo Simulation,which uses Halton sequences to improve Monte Carlo Simulation.This paper also introduces generated rule of Halton Low Discrepancy Sequences and Moro algorithm.Finally,the performances of three kinds of Quasi-Monte Carlo method are compared. |
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| Keywords: | Quasi-Monte Carlo Simulation Option Pricing Halton Sequences Moro Algorithm |
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