Path-Dependent Options Pricing: A Quasi Monte Carlo Simulation Approach with MATLAB
11 Pages Posted: 15 Aug 2010 Last revised: 18 Oct 2010
Date Written: July 1, 2010
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
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