NCTAM papers, National Congress of Theoretical and Applied Mechanics, Japan
53rd NCTAM papers, National Congress of Theoretical and Applied Mechanics, Japan
Session ID : 3B9
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OS22-1
Quasi-Monte Carlo methods for option pricing problems
*Hozumi Morohosi
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Abstract
For these years quasi-Monte Carlo methods finds its application to the problems in financial engineering, especially pricing problem of financial derivatives. In this talk we review how to apply quasi-Monte Carlo methods to derivative pricing problems,and report some computational experimental results. As recent topics the error estimation of quasi-Monte Carlo methods will also be presented.
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© 2004 Committee for Mechanics and Structure,Science Council
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