数学与系统科学研究院

计算数学所学术报告

报告人：        Jenny Xiaoe Li

Penn State University, USA

报告题目 Simulation of Option Prices with Quasi-Monte Carlo Method

Abstract: In this talk, the performance of the standard Monte Carlo method is compared wit h the performance obtained through the use of (t,m,s)-nets in base b in the approximation of several high dimensional integral problems in valuing derivatives and other securities. Some research has indicate that under certain condition Quasi-Monte Carlo is superior than the traditional Monte Carlo in terms of rate of convergence and accuracy, particular, theoretic results hinted that the so-called (t,m,s)-net suppose to be the most powerful one among all the Quasi-Monete Carlo methods when the problem is "smooth". However, the application of (t,m,s)-net was not included in the existing simulation literatures. I will introduce the algorithms of generate the most common Quasi-Monte Carlo sequence, such as Halton, Sobal, Faure and (t,m,s)-net. then implement these sequences in several path-dependent options. Our investigation showed that Quasi-Monte Carlo methods outperform the traditional Monte Carlo.

报告时间：2004年12月16日  上午10：30-11：30

报告地点：科技综合楼三层报告厅