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.

• Type: Conference
• Year: 1998
• Where: WSC
• Authors: Christiane Lemieux, Pierre L'Ecuyer
• Keywords: Low-discrepancy Point Sets, Modeling And Simulation, Monte Carlo Methods, Variance Reduction Techniques, WSC 1998