**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