A Comparative Analysis of Monte Carlo and Quasi-Monte Carlo Methods in Financial Derivative Pricing

Authors

  • SM Arif Hossen Department of Applied Mathematics, University of Dhaka, Dhaka-1000, Bangladesh
  • ABM Shahadat Hossain Department of Applied Mathematics, University of Dhaka, Dhaka-1000, Bangladesh

DOI:

https://doi.org/10.3329/dujs.v69i1.54617

Keywords:

Monte Carlo (MC) method, Quasi-Monte Carlo (QMC) method, European option, American option, Asian option, Barrier option, Pseudorandom number, Halton sequence, Sobol sequence, Black Scholes model.

Abstract

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)

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Published

2021-03-31

How to Cite

Hossen, S. A., & Hossain, A. S. (2021). A Comparative Analysis of Monte Carlo and Quasi-Monte Carlo Methods in Financial Derivative Pricing. Dhaka University Journal of Science, 69(1), 1–6. https://doi.org/10.3329/dujs.v69i1.54617

Issue

Vol. 69 No. 1 (2021)

Section

Articles