Add to ORKGJournal articleIn this paper, we consider two types of pricing option in financial markets using quasi Monte Carlo algorithm with variance reduction procedures. We evaluate Asian-style and European-style options pricing based on Black-Scholes model. Finally, some numerical results presented
This paper attempts to study and explore the most commonly used option pricing models. As we will se...
Option valuation is one of the more applied areas of mathematics. Options are financial derivatives ...
Several variance reduction techniques including importance sampling, (mar-tingale) control variate, ...
In this paper, we consider two types of pricing option in financial markets using quasi Monte Carlo ...
The Monte-Carlo method is one of the main method to estimate financial instruments, with this techni...
This article investigates several variance reduction techniques in Monte Carlo simulation applied in...
This thesis evaluates different models accuracy of option pricing by MonteCarlo simulations when cha...
Financial derivatives have developed rapidly over the past few decades due to their risk-averse natu...
Monte Carlo simulation is a valuable tool in computational finance. It is widely used to evaluate po...
The Monte Carlo method has proved to be a valuable tool for estimating security prices for which clo...
The aim of this paper is to present simulation methods for the pricing of American financial instru...
Praca przedstawia stochastyczne równania różniczkowe, opcje i metody redukcji wariancji dla metody M...
In recent years, the importance and the interest in financial instrument especially derivatives have...
As for the Monte Carlo Method, we first introduce a brief history of the method and pricing options ...
In this paper, we present selected methods to price average price options (also known as Asian optio...
This paper attempts to study and explore the most commonly used option pricing models. As we will se...
Option valuation is one of the more applied areas of mathematics. Options are financial derivatives ...
Several variance reduction techniques including importance sampling, (mar-tingale) control variate, ...
In this paper, we consider two types of pricing option in financial markets using quasi Monte Carlo ...
The Monte-Carlo method is one of the main method to estimate financial instruments, with this techni...
This article investigates several variance reduction techniques in Monte Carlo simulation applied in...
This thesis evaluates different models accuracy of option pricing by MonteCarlo simulations when cha...
Financial derivatives have developed rapidly over the past few decades due to their risk-averse natu...
Monte Carlo simulation is a valuable tool in computational finance. It is widely used to evaluate po...
The Monte Carlo method has proved to be a valuable tool for estimating security prices for which clo...
The aim of this paper is to present simulation methods for the pricing of American financial instru...
Praca przedstawia stochastyczne równania różniczkowe, opcje i metody redukcji wariancji dla metody M...
In recent years, the importance and the interest in financial instrument especially derivatives have...
As for the Monte Carlo Method, we first introduce a brief history of the method and pricing options ...
In this paper, we present selected methods to price average price options (also known as Asian optio...
This paper attempts to study and explore the most commonly used option pricing models. As we will se...
Option valuation is one of the more applied areas of mathematics. Options are financial derivatives ...
Several variance reduction techniques including importance sampling, (mar-tingale) control variate, ...