Monte Carlo & Quasi-Monte Carlo approach in option pricing

2012 IEEE Symposium on Humanities, Science and Engineering Research ◽

10.1109/shuser.2012.6268822 ◽

2012 ◽

Author(s):

M. A. Maasar ◽

N. A. M. Nordin ◽

M. Anthonyrajah ◽

W. M. W. Zainodin ◽

A. M. Yamin

Keyword(s):

Monte Carlo ◽

Option Pricing ◽

Monte Carlo Approach ◽

Quasi Monte Carlo

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Quasi-Monte Carlo approach to efficient 3D seismic image reconstruction

10.1117/12.187488 ◽

1994 ◽

Author(s):

Yongshe Sun ◽

Gerard T. Schuster ◽

Kris Sikorski

Keyword(s):

Monte Carlo ◽

Image Reconstruction ◽

Monte Carlo Approach ◽

Quasi Monte Carlo ◽

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Empirical Research on Soybean Futures Option Pricing Based on Weighted Least Squares Quasi-Monte Carlo

2019 IEEE International Conference on Computation, Communication and Engineering (ICCCE) ◽

10.1109/iccce48422.2019.9010828 ◽

2019 ◽

Author(s):

Lili Xu ◽

Sujuan Pan ◽

Ting Cheng Chang

Keyword(s):

Monte Carlo ◽

Option Pricing ◽

Least Squares ◽

Empirical Research ◽

Weighted Least Squares ◽

Quasi Monte Carlo

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Bootstrap variance estimation for complex survey data: a Quasi Monte Carlo approach

Sankhya B ◽

10.1007/s13571-013-0062-7 ◽

2013 ◽

Vol 75 (1) ◽

pp. 29-41 ◽

Author(s):

Cherif Ahmat Tidiane Aidara

Keyword(s):

Monte Carlo ◽

Survey Data ◽

Variance Estimation ◽

Complex Survey ◽

Monte Carlo Approach ◽

Quasi Monte Carlo ◽

Complex Survey Data

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Distributed Quasi-Monte Carlo Algorithm for Option Pricing on HNOWs Using mpC

39th Annual Simulation Symposium (ANSS'06) ◽

10.1109/anss.2006.20 ◽

2006 ◽

Author(s):

Gong Chen ◽

P. Thulasiraman ◽

R.K. Thulasiram

Keyword(s):

Monte Carlo ◽

Option Pricing ◽

Monte Carlo Algorithm ◽

Quasi Monte Carlo

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Quasi-Monte Carlo simulation of Brownian sheet with application to option pricing

Statistical Theory and Related Fields ◽

10.1080/24754269.2017.1332965 ◽

2017 ◽

Vol 1 (1) ◽

pp. 82-91

Author(s):

Xinyu Song ◽

Yazhen Wang

Keyword(s):

Monte Carlo Simulation ◽

Monte Carlo ◽

Option Pricing ◽

Brownian Sheet ◽

Quasi Monte Carlo

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On a simple quasi-Monte Carlo approach for classical ultimate ruin probabilities

Insurance Mathematics and Economics ◽

10.1016/j.insmatheco.2007.10.008 ◽

2008 ◽

Vol 42 (3) ◽

pp. 935-942 ◽

Author(s):

Ibrahim Coulibaly ◽

Claude Lefèvre

Keyword(s):

Monte Carlo ◽

Ruin Probabilities ◽

Monte Carlo Approach ◽

Quasi Monte Carlo

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A Comparison of Some Monte Carlo and Quasi Monte Carlo Techniques for Option Pricing

Monte Carlo and Quasi-Monte Carlo Methods 1996 - Lecture Notes in Statistics ◽

10.1007/978-1-4612-1690-2_1 ◽

1998 ◽

pp. 1-18 ◽

Author(s):

Peter A. Acworth ◽

Mark Broadie ◽

Paul Glasserman

Keyword(s):

Monte Carlo ◽

Option Pricing ◽

Quasi Monte Carlo ◽

Monte Carlo Techniques

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An Efficient Second Order Discretization Using Smart Malliavin Weight and Quasi Monte Carlo Method for Option Pricing

SSRN Electronic Journal ◽

10.2139/ssrn.3012898 ◽

2017 ◽

Author(s):

Toshihiro Yamada ◽

Kenta Yamamoto

Keyword(s):

Monte Carlo ◽

Monte Carlo Method ◽

Option Pricing ◽

Second Order ◽

Quasi Monte Carlo

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Applications of Monte Carlo/Quasi-Monte Carlo Methods in Finance: Option Pricing

Monte-Carlo and Quasi-Monte Carlo Methods 1998 ◽

10.1007/978-3-642-59657-5_19 ◽

2000 ◽

pp. 284-295 ◽

Author(s):

Yongzeng Lai ◽

Jerome Spanier

Keyword(s):

Monte Carlo ◽

Option Pricing ◽

Monte Carlo Methods ◽

Quasi Monte Carlo

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A Quasi Monte Carlo Approach to Piecewise Linear Markov Approximations of Markov Operators

Monte Carlo Methods and Applications ◽

10.1515/156939603322601932 ◽

2003 ◽

Vol 9 (4) ◽

pp. 295-309

Author(s):

Jiu Ding ◽

Dong Mao ◽

Aihui Zhou

Keyword(s):

Monte Carlo ◽

Piecewise Linear ◽

Monte Carlo Approach ◽

Markov Operators ◽

Quasi Monte Carlo

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