Path-Dependent Options Pricing: A Quasi Monte Carlo Simulation Approach with MATLAB

11 Pages Posted: 15 Aug 2010 Last revised: 18 Oct 2010

See all articles by Jay Au Yeung

Jay Au Yeung

The Chinese University of Hong Kong (CUHK)

Date Written: July 1, 2010

Abstract

This paper presents a tailor-made discrete-time simulation model for valuing path-dependent options, such as lookback option, barrier option and Asian option. In the context of a real-life application that is interest to many students, we illustrate the option pricing by using Quasi Monte Carlo simulation methods. We give an Asian option pricing which relies heavily on the underlying asset path as a case study with the implementation of MATLAB code.

Keywords: Finance, Mathematics, Derivative, Options Pricing, Quasi Monte Carlo, Simulation, MATLAB, Asian, Lookback, Barrier

JEL Classification: C15, C60, C63, G13, G12

Suggested Citation

Au Yeung, Jay, Path-Dependent Options Pricing: A Quasi Monte Carlo Simulation Approach with MATLAB (July 1, 2010). Available at SSRN: https://ssrn.com/abstract=1659248 or http://dx.doi.org/10.2139/ssrn.1659248

Jay Au Yeung (Contact Author)

The Chinese University of Hong Kong (CUHK) ( email )

Shatin, N.T.
Hong Kong
Hong Kong

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