A Comparative Analysis of Monte Carlo and Quasi-Monte Carlo Methods in Financial Derivative Pricing
Keywords:Monte Carlo (MC) method, Quasi-Monte Carlo (QMC) method, European option, American option, Asian option, Barrier option, Pseudorandom number, Halton sequence, Sobol sequence, Black Scholes model.
The main purpose of this dissertation is to study Monte Carlo (MC) and Quasi-Monte Carlo (QMC) methods for pricing financial derivatives. We estimate the Price of European as well as various path dependent options like Asian, Barrier and American options by using these methods. We also compute the numerical results by the above mentioned methods and compare them graphically as well with the help of the MATLAB Coding.
Dhaka Univ. J. Sci. 69(1): 1-6, 2021 (January)