Comparisons of Alternative Quasi-Monte Carlo Sequences for American Option Pricing

Quasi-Monte Carlo sequences have been shown to provide accurate option price approximations for a variety of options. In this paper, we apply quasi-Monte Carlo sequences in a duality approach to value American options. We compare the results using different low discrepancy sequences and estimate error bounds and computational effort. The results demonstrate the value of sequences using expansions of irrationals

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Year of publication:	[2004]
Authors:	Jiang, Jennifer X.F.
Other Persons:	Birge, John R. (contributor)
Publisher:	[2004]: [S.l.] : SSRN

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Extent:	1 Online-Ressource (17 p)
Type of publication:	Book / Working Paper
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments November 24, 2004 erstellt
Other identifiers:	10.2139/ssrn.634201 [DOI]
Classification:	C15 - Statistical Simulation Methods; Monte Carlo Methods ; C44 - Statistical Decision Theory; Operations Research ; G13 - Contingent Pricing; Futures Pricing
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012737739