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New Results on Deterministic Pricing of Financial Derivatives

Anargyros Papageorgiou; Joseph F. Traub

Title:
New Results on Deterministic Pricing of Financial Derivatives
Author(s):
Papageorgiou, Anargyros
Traub, Joseph F.
Date:
Type:
Technical reports
Department:
Computer Science
Persistent URL:
Series:
Columbia University Computer Science Technical Reports
Part Number:
CUCS-028-96
Publisher:
Department of Computer Science, Columbia University
Publisher Location:
New York
Abstract:
Monte Carlo simulation is widely used to price complex financial instruments Recent theoretical results and extensive computer testing indicate that deterministic methods may be far superior in speed and confidence. Simulations using the Sobol or Faure points are examples of deterministic methods. For the sake of brevity we refer to a deterministic method using the name of the sequence of points which the method uses (e.g. Sobol method.)
Subject(s):
Computer science
Finance
Item views
213
Metadata:
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Suggested Citation:
Anargyros Papageorgiou, Joseph F. Traub, 1996, New Results on Deterministic Pricing of Financial Derivatives, Columbia University Academic Commons, http://hdl.handle.net/10022/AC:P:29373.

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