Abstract

http://ssrn.com/abstract=634201
 
 

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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



Abstract:     
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, G13

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Date posted: December 29, 2004  

Suggested Citation

Jiang, Jennifer X.F. and Birge, John R., Comparisons of Alternative Quasi-Monte Carlo Sequences for American Option Pricing (November 24, 2004). Available at SSRN: http://ssrn.com/abstract=634201 or http://dx.doi.org/10.2139/ssrn.634201

Contact Information

Xuefeng Jiang
Northwestern University - Department of Industrial Engineering and Management Sciences ( email )
Evanston, IL 60208-3119
United States
HOME PAGE: http://users.iems.nwu.edu/~xfjiang
John R. Birge (Contact Author)
University of Chicago - Booth School of Business ( email )
5807 S. Woodlawn Avenue
Chicago, IL 60637
United States

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