论文标题
准蒙特卡罗规则的理论和构建，用于期权定价和密度估计
Theory and construction of Quasi-Monte Carlo rules for option pricing and density estimation
论文作者
论文摘要
在本文中，我们提出并分析了一种估计与亚洲选项相关的三个数量的方法：公平价格，累积分布函数和概率密度。该方法涉及一个相对于一个精心选择的集成变量的预一体化，以获得其余变量的平滑函数，然后应用定制的晶格准蒙特卡洛规则，以在其余变量上整合。
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.
