Random sampling from low-discrepancy sequences: applications to option pricing

Authors:
G. Ökten
Affiliations:
Department of Mathematical Sciences, Ball State University Muncie, IN 47306, U.S.A.
Venue:
Mathematical and Computer Modelling: An International Journal
Year:
2002

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Abstract

A hybrid-Monte Carlo method and its applications to problems from option pricing are presented. The method, called random sampling from low-discrepancy sequences, enables the use of statistical tools to estimate the error in the context of low-discrepancy sequences. Numerical results are used to compare the method with conventional Monte Carlo and quasi-Monte Carlo methods, as well as the randomly shifted sequences.