17 Pages Posted: 29 Dec 2004
Date Written: 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.
Keywords: Quasi-Monte Carlo methods, numerical integration, option pricing, low discrepancy sequences
JEL Classification: C15, C44, G13
Suggested Citation: 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: https://ssrn.com/abstract=634201 or http://dx.doi.org/10.2139/ssrn.634201