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STUDIA MATHEMATICA - Issue no. 4 / 2008 | |||||||
Article: |
A MIXED MONTE CARLO AND QUASI-MONTE CARLO METHOD WITH APPLICATIONS TO MATHEMATICAL FINANCE. Authors: ALIN V. ROŞCA. |
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Abstract: In this paper, we apply a mixed Monte Carlo and Quasi-Monte Carlo method, which we proposed in a previous paper, to problems from mathematical finance. We estimate the value of an European Call option and of an Asian option using our mixed method, under different horizont times. We assume that the stock price of the underlaying asset S = S(t) is driven by a Lévy process L(t). We compare our estimates with the estimates obtained by using the Monte Carlo and Quasi-Monte Carlo methods. Numerical results show that a considerable improvement can be achieved by using the mixed method. | |||||||