%0 Journal Article
%T A Computational Approach to Financial Option Pricing Using Quasi Monte Carlo Methods via Variance Reduction Techniques
%A Farshid Mehrdoust
%A Kianoush Fathi Vajargah
%J Journal of Mathematical Finance
%P 195-198
%@ 2162-2442
%D 2012
%I Scientific Research Publishing
%R 10.4236/jmf.2012.22021
%X In this paper, we consider two types of pricing option in financial markets using quasi Monte Carlo algorithm with variance reduction procedures. We evaluate Asian-style and European-style options pricing based on Black-Scholes model. Finally, some numerical results presented.
%K Financial Mathematics
%K Option Pricing
%K Quasi Monte Carlo
%K Variance Reduction
%K Brownian Motion
%K Sobol Sequence
%U http://www.scirp.org/journal/PaperInformation.aspx?PaperID=19218