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...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2005
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| Online Access: | http://ndltd.ncl.edu.tw/handle/75833785487022520950 |