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Efficiency improvement by lattice rules for pricing Asian options

Authors:

Christiane Lemieux,

Pierre L'EcuyerAuthors Info & Claims

WSC '98: Proceedings of the 30th conference on Winter simulation

Pages 579 - 586

Published: 01 December 1998 Publication History

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References

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Acworth, R, M. Broadie., and R Glasserman. 1997. A comparison of some Monte Carlo and quasi-Monte Carlo techniques for option pricing. In Monte Carlo and Quasi-Monte Carlo Methods in Scientific Computing, ed. R Hellekalek and H. Niederreiter, Lecture Notes in Statistics 127, 1-18. Springer-Verlag.

[2]

Black, F. and M. Scholes. 1973. The pricing of options and corporate liabilities. Journal of Political Economy, 81:637-659.

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Bratley, R, B. L. Fox., and H. Niederreiter. 1992. Implementation and tests of low-discrepancy sequences. ACM Transactions on Modeling and Computer Simulation, 2:195-213.

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Cranley, R. and T. N. L. Patterson. 1976. Randomization of number theoretic methods for multiple integration. SIAM Journal on Numerical Analysis, 13(6):904-914.

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Fox, B. L. 1986. Implementation and relative efficiency of quasirandom sequence generators. ACM Transactions on Mathematical Software, 12:362-376.

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Hickernell, F. J. 1998. A generalized discrepancy and quadrature error bound. Mathematics of Computation, 67:299-322.

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Hickernell, F. J. 1999. Lattice rules: How well do they measure up? In Pseudo- and Quasi-Random Point Sets, ed. R Hellekalek and G. Larcher, Lecture Notes in Statistics. New York: Springer. To appear.

[8]

Kemna, A. G. Z. and C. F. Vorst. 1990. A pricing method for options based on average asset values. Journal of Banking and Finance, 14:113-129.

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L'Ecuyer, R 1994. Efficiency improvement via variance reduction. In Proceedings of the 1994 Winter Simulation Conference, 122-132. IEEE Press.

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L'Ecuyer, R 1998a. Good parameters and implementations for combined multiple recursive random number generators. Operations Research. To appear.

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L'Ecuyer, R 1998b. A table of linear congruential generators of different sizes and good lattice structure. Mathematics of Computation. To appear.

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Lemieux, C. 1996. L'6valuation des options asiatiques. Master's thesis, Universit6 de Montr6al, D6partement de Math6matiques.

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Niederreiter, H. 1992. Random Number Generation and Quasi-Monte Carlo Methods. volume 63 of SIAM CBMS-NSF Regional Conference Series in Applied Mathematics. Philadelphia: SIAM.

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Owen, A. B. 1995. Randomly permuted (t, m, s)-nets and (t,s)-sequences. In Monte Carlo and Quasi- Monte Carlo Methods in Scientific Computing, ed. H. Niederreiter and R J.-S. Shiue, Lecture Notes in Statistics 106, 299-317. Springer-Verlag.

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Owen, A. B. 1997. Scrambled net variance for integrals of smooth functions. Annals of Statistics, 25(4):1541- 1562.

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Owen, A. B. 1998. Latin supercube sampling for very high-dimensional simulations. ACM Transactions of Modeling and Computer Simulation, 8(1):71-102.

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Papageorgiou, A. and J. Traub. 1996. Beating Monte Carlo. Risk, 9:63-65.

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Paskov, S. and J. Traub. Fall 1995. Faster valuation of financial derivatives. Journal of Portfolio Management, 113-120.

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Sloan, I. H. and S. Joe. 1994. Lattice Methods for Multiple Integration. Oxford: Clarendon Press.

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Sloan, I. H. and L. Walsh. 1990. A computer search of rank 2 lattice rules for multidimensional quadrature. Mathematics of Computation, 54:281-302.

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Tuffin, B. 1996. On the use of low-discrepancy sequences in Monte Carlo methods. Technical Report No. 1060, I.R.I.S.A., Rennes, France.

Cited By

Pillards TCools R(2006)Using box-muller with low discrepancy pointsProceedings of the 2006 international conference on Computational Science and Its Applications - Volume Part V10.1007/11751649_86(780-788)Online publication date: 8-May-2006
https://dl.acm.org/doi/10.1007/11751649_86
Hickernell F(2003)My dream quadrature ruleJournal of Complexity10.1016/S0885-064X(02)00024-919:3(420-427)Online publication date: 1-Jun-2003
https://dl.acm.org/doi/10.1016/S0885-064X%2802%2900024-9
Charnes JFishwick PKang KJoines JBarton R(2000)Options pricingProceedings of the 32nd conference on Winter simulation10.5555/510378.510404(151-157)Online publication date: 10-Dec-2000
https://dl.acm.org/doi/10.5555/510378.510404
Show More Cited By

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Efficiency improvement by lattice rules for pricing Asian options

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Information

Published In

cover image ACM Conferences

WSC '98: Proceedings of the 30th conference on Winter simulation

December 1998

1766 pages

ISBN:0780351347

Sponsors

IIE: Institute of Industrial Engineers
IEEE-SMCS: Systems, Man & Cybernetics Society
INFORMS/CS: Computer Science TC
ASA: American Statistical Association
ACM: Association for Computing Machinery
SCS: Society for Computer Simulation
SIGSIM: ACM Special Interest Group on Simulation and Modeling
IEEE-CS: Computer Society
NIST: National Institute of Standards & Technology

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IEEE Computer Society Press

Washington, DC, United States

Publication History

Published: 01 December 1998

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WSC98

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IIE
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IEEE-CS
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WSC98: Winter Simulation Conference 1998

December 13 - 16, 1998

D.C., Washington, USA

Acceptance Rates

WSC '98 Paper Acceptance Rate 164 of 216 submissions, 76%;

Overall Acceptance Rate 3,413 of 5,075 submissions, 67%

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Cited By

Pillards TCools R(2006)Using box-muller with low discrepancy pointsProceedings of the 2006 international conference on Computational Science and Its Applications - Volume Part V10.1007/11751649_86(780-788)Online publication date: 8-May-2006
https://dl.acm.org/doi/10.1007/11751649_86
Hickernell F(2003)My dream quadrature ruleJournal of Complexity10.1016/S0885-064X(02)00024-919:3(420-427)Online publication date: 1-Jun-2003
https://dl.acm.org/doi/10.1016/S0885-064X%2802%2900024-9
Charnes JFishwick PKang KJoines JBarton R(2000)Options pricingProceedings of the 32nd conference on Winter simulation10.5555/510378.510404(151-157)Online publication date: 10-Dec-2000
https://dl.acm.org/doi/10.5555/510378.510404
L'Ecuyer PLemieux C(1999)Quasi-Monte Carlo via linear shift-register sequencesProceedings of the 31st conference on Winter simulation: Simulation---a bridge to the future - Volume 110.1145/324138.324448(632-639)Online publication date: 1-Dec-1999
https://dl.acm.org/doi/10.1145/324138.324448
Ameur HL'Ecuyer PLemieux C(1999)Variance reduction of Monte Carlo and randomized quasi-Monte Carlo estimators for stochastic volatility models in financeProceedings of the 31st conference on Winter simulation: Simulation---a bridge to the future - Volume 110.1145/324138.324237(336-343)Online publication date: 1-Dec-1999
https://dl.acm.org/doi/10.1145/324138.324237

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