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Stanislaus S Uyanto
Universitas Katolik Atma Jaya Jakarta
Computer Science & IT Economics, Econometrics & Finance

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Perbandingan Metode Quasi Monte Carlo Dengan Barisan Kuasi-Acak Halton Dan Barisan Kuasi-Acak Sobol Dalam Option Pricing Stanislaus S Uyanto
Majalah Ilmiah Ekonomi Komputer 2007: Majalah Ilmiah Ekonomi Komputer Edisi April
Publisher : Majalah Ilmiah Ekonomi Komputer

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Abstract

The Monte Carlo method has proved to be a valuable tool for estimating security prices for which closed form solutions do not exist. This paper evaluate te Quasi-Monte Carlo method that has attractive properties for the numerical valuation of derivatives and examines the use of Monte Carlo simulation with low-discrepancy sequences for valuing derivatives versus the traditional Monte Carlo method using pesudo-random sequences. The relative performance of the methods is evaluated based on European options. Keywords : Monte Carlo, Quasi-Monte Carlo, European options
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