Open AccessA Comparative Analysis of Monte Carlo and Quasi-Monte Carlo Methods in Financial Derivative Pricing
Author(s) -
S. M. Arif Hossen,
Anowar Hossain
Publication year - 2021
Publication title -
the dhaka university journal of science
Language(s) - English
Resource type - Journals
eISSN - 2408-8528
pISSN - 1022-2502
DOI - 10.3329/dujs.v69i1.54617
Subject(s) - monte carlo method , monte carlo methods for option pricing , derivative (finance) , matlab , quasi monte carlo method , valuation of options , quantum monte carlo , hybrid monte carlo , monte carlo molecular modeling , computer science , dynamic monte carlo method , markov chain monte carlo , statistical physics , mathematics , econometrics , economics , physics , finance , statistics , operating system
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)