Theory and construction of Quasi-Monte Carlo rules for option pricing and density estimation

12/22/2022

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by   Alexander D. Gilbert, et al.

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In this paper we propose and analyse a method for estimating three quantities related to an Asian option: the fair price, the cumulative distribution function, and the probability density. The method involves preintegration with respect to one well chosen integration variable to obtain a smooth function of the remaining variables, followed by the application of a tailored lattice Quasi-Monte Carlo rule to integrate over the remaining variables.