Finance

An importance sampling-based smoothing approach for quasi-Monte Carlo simulation of discrete barrier options

Handling discontinuities in financial engineering is a challenging task when using quasi-Monte Carlo (QMC) method. This paper develops a so-called sequential importance sampling (SIS) method to remove multiple discontinuity structures sequentially …

Efficient Computation of Option Prices and Greeks by Quasi-Monte Carlo Method with Smoothing and Dimension reduction

Discontinuities and high dimensionality are common in the problems of pricing and hedging of derivative securities. Both factors have a tremendous impact on the accuracy of the quasi--Monte Carlo (QMC) method. An ideal approach to improve the QMC …

An Auto-Realignment Method in Quasi-Monte Carlo for Pricing Financial Derivatives with Jump Structures

Discontinuities are common in the pricing of financial derivatives and have a tremendous impact on the accuracy of quasi-Monte Carlo (QMC) method. While if the discontinuities are parallel to the axes, good efficiency of the QMC method can still be …

Good Path Generation Methods in Quasi-Monte Carlo for Pricing Financial Derivatives

Quasi-Monte Carlo (QMC) method is a powerful numerical tool for pricing complex derivative securities, whose accuracy is affected by the smoothness of the integrands. The payoff functions of many financial derivatives involve two types of non-smooth …