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

Authors:
Christiane Lemieux;Pierre L'Ecuyer
Affiliations:
-;-
Venue:
ICCS '01 Proceedings of the International Conference on Computational Sciences-Part I
Year:
2001

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Abstract

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.