ZHANG Tian-yong~1, PENG Long-ze~2. Option Pricing Using Quasi-Monte Carlo Simulation[J]. Journal of Civil and Environmental Engineering, 2005, 27(4): 111-114.
This paper firstly introduces the method of option pricing using Monte Carlo
then
proposes one kind of Quasi-Monte Carlo Simulation
which uses Halton sequences to improve Monte Carlo Simulation.This paper also introduces generated rule of Halton Low Discrepancy Sequences and Moro algorithm.Finally
the performances of three kinds of Quasi-Monte Carlo method are compared.