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Articles

Quasi-Monte Carlo simulation of Brownian sheet with application to option pricing

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Pages 82-91 | Received 07 Mar 2017, Accepted 17 May 2017, Published online: 19 Jun 2017

Figures & data

Figure 1. (a) Scatter plot of 1000 pseudorandom numbers; (b) scatter plot of 1000 Sobol’ numbers (one example of quasi-random numbers).

Figure 1. (a) Scatter plot of 1000 pseudorandom numbers; (b) scatter plot of 1000 Sobol’ numbers (one example of quasi-random numbers).

Table 1. (i, j) pairs for 99 largest λij in Karhunen–Loéve expansion.

Table 2. Implied forward interest rates.

Table 3. Parameter estimates of volatility and correlation functions.

Table 4. Deliverable bonds.

Table 5. Simulation results of the option prices.

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