Comparisons of Alternative Quasi-Monte Carlo Sequences for American Option Pricing
Jennifer X.F. Jiang
Northwestern University - Department of Industrial Engineering and Management Sciences
John R. Birge
University of Chicago - Booth School of Business
November 24, 2004
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.
Number of Pages in PDF File: 17
Keywords: Quasi-Monte Carlo methods, numerical integration, option pricing, low discrepancy sequences
JEL Classification: C15, C44, G13working papers series
Date posted: December 29, 2004
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