A short introduction to quasi-Monte Carlo option pricing
arXiv:1707.04293
AI Analysis
It serves as a tutorial for practitioners new to QMC in finance, but offers no novel contributions.
This paper introduces quasi-Monte Carlo methods for option pricing, providing practical examples to illustrate their application. No concrete performance numbers are reported.
One of the main practical applications of quasi-Monte Carlo (QMC) methods is the valuation of financial derivatives. We aim to give a short introduction into option pricing and show how it is facilitated using QMC. We give some practical examples for illustration.