Pricing American Option Using Quasi-Monte Carlo Simulation

碩士 === 義守大學 === 財務金融學系碩士班 === 93 === This paper uses Quasi-Monte Carlo to value the price of option and uses Faure sequences that are deterministic instead of random. In order to find the efficiency of the Quasi-Monte Carlo. We change the parament to find what will effect of the American option. The...

Full description

Bibliographic Details
Main Authors:	Chiung-han Chen, 陳弘祐
Other Authors:	Tu-Chen Wu
Format:	Others
Language:	zh-TW
Published:	2005
Online Access:	http://ndltd.ncl.edu.tw/handle/75833785487022520950

id	ndltd-TW-093ISU05214009
record_format	oai_dc
spelling	ndltd-TW-093ISU052140092015-10-13T11:57:26Z http://ndltd.ncl.edu.tw/handle/75833785487022520950 Pricing American Option Using Quasi-Monte Carlo Simulation Quasi-MonteCarlo在美式選擇權上的應用 Chiung-han Chen 陳弘祐碩士義守大學財務金融學系碩士班 93 This paper uses Quasi-Monte Carlo to value the price of option and uses Faure sequences that are deterministic instead of random. In order to find the efficiency of the Quasi-Monte Carlo. We change the parament to find what will effect of the American option. The result can be found Faure improve convergence and give rise to deterministic error bounds. Tu-Chen Wu 吳土城 2005 學位論文 ; thesis 53 zh-TW
collection	NDLTD
language	zh-TW
format	Others
sources	NDLTD
description	碩士 === 義守大學 === 財務金融學系碩士班 === 93 === This paper uses Quasi-Monte Carlo to value the price of option and uses Faure sequences that are deterministic instead of random. In order to find the efficiency of the Quasi-Monte Carlo. We change the parament to find what will effect of the American option. The result can be found Faure improve convergence and give rise to deterministic error bounds.
author2	Tu-Chen Wu
author_facet	Tu-Chen Wu Chiung-han Chen 陳弘祐
author	Chiung-han Chen 陳弘祐
spellingShingle	Chiung-han Chen 陳弘祐 Pricing American Option Using Quasi-Monte Carlo Simulation
author_sort	Chiung-han Chen
title	Pricing American Option Using Quasi-Monte Carlo Simulation
title_short	Pricing American Option Using Quasi-Monte Carlo Simulation
title_full	Pricing American Option Using Quasi-Monte Carlo Simulation
title_fullStr	Pricing American Option Using Quasi-Monte Carlo Simulation
title_full_unstemmed	Pricing American Option Using Quasi-Monte Carlo Simulation
title_sort	pricing american option using quasi-monte carlo simulation
publishDate	2005
url	http://ndltd.ncl.edu.tw/handle/75833785487022520950
work_keys_str_mv	AT chiunghanchen pricingamericanoptionusingquasimontecarlosimulation AT chénhóngyòu pricingamericanoptionusingquasimontecarlosimulation AT chiunghanchen quasimontecarlozàiměishìxuǎnzéquánshàngdeyīngyòng AT chénhóngyòu quasimontecarlozàiměishìxuǎnzéquánshàngdeyīngyòng
_version_	1716851710047027200

Pricing American Option Using Quasi-Monte Carlo Simulation

Similar Items