Pricing of European and Asian options with Monte Carlo simulations : Variance reduction and low-discrepancy techniques

This thesis evaluates different models accuracy of option pricing by MonteCarlo simulations when changing parameter values and the number of simulations. By simulating the asset movements thousands of times and use well established theory one can approximate the price of one-year financialoptions and for the European options also compare them to the price from Black-Scholes exact pricing formula. The models in this thesis became two direct variance reducing models, a low-discrepancy model and also the Standard model. The results show that the models that controls the generating of random numbers has the best estimating of the price where Quasi-MC performed better than the others. A Hybrid model was con-structed from two established models and it showed that it was accurate when it comes to estimating the option price and even beat the Quasi-MCmost of the times