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WSC
1998

Efficiency Improvement by Lattice Rules for Pricing Asian Options

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Efficiency Improvement by Lattice Rules for Pricing Asian Options
This paper compares Monte Carlo methods, lattice rules, and other low-discrepancy point sets on the problem of evaluating asian options. The combination of these methods with variance reduction techniques is also explored.
Christiane Lemieux, Pierre L'Ecuyer
Added 01 Nov 2010
Updated 01 Nov 2010
Type Conference
Year 1998
Where WSC
Authors Christiane Lemieux, Pierre L'Ecuyer
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