Yiqun Zang: Monte Carlo and quasi-Monte Carlo Methods in pricing of Asian options
Presentation of bachelor's thesis in mathematics.
Time: Mon 2016-06-20 09.00 - 10.00
Location: Room 32, House 5, Kräftriket, Department of Mathematics, Stockholm University
Supervisors: Björn Bergstrand och Karl Rökaeus
Abstract:
In this thesis, we first study Monte Carlo simulation for pricing of options and then try to improve its precision and efficiency by quasi-Monte Carlo method. Since the key distinction between standard Monte Carlo and quasi-Monte Carlo is the different sequences they use, we will provide a detailed discussion about three standard low-discrepancy sequences usually used in quasi-Monte Carlo and find how to choose among them in different situations to achieve optimal results.