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math.PR2007★ 1 cited
Implementing Quasi-Monte Carlo Simulations with Linear Transformations
Piergiacomo Sabino
Pricing exotic multi-asset path-dependent options requires extensive Monte Carlo simulations. In the recent years the interest to the Quasi-monte Carlo technique has been renewed a…
math.PR2007★ 3 cited
Monte Carlo Methods and Path-Generation techniques for Pricing Multi-asset Path-dependent Options
Piergiacomo Sabino
We consider the problem of pricing path-dependent options on a basket of underlying assets using simulations. As an example we develop our studies using Asian options. Asian option…