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New Results on Deterministic Pricing of Financial Derivatives

Papageorgiou, Anargyros; Traub, Joseph F.

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.)

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More About This Work

Academic Units
Computer Science
Publisher
Department of Computer Science, Columbia University
Series
Columbia University Computer Science Technical Reports, CUCS-028-96
Published Here
April 25, 2011