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V. N. Alexandrov, C. G. Martel and J. Strabburg, “Monte Carlo Scalable Algorithms for Computational Finance,” Procedia Computer Science, Vol. 4, 2011, pp. 1798-1715. doi:10.1016/j.procs.2011.04.185

has been cited by the following article:

• TITLE: A Computational Approach to Financial Option Pricing Using Quasi Monte Carlo Methods via Variance Reduction Techniques

  AUTHORS: Farshid Mehrdoust, Kianoush Fathi Vajargah

  KEYWORDS: Financial Mathematics; Option Pricing; Quasi Monte Carlo; Variance Reduction; Brownian Motion; Sobol Sequence

  JOURNAL NAME: Journal of Mathematical Finance, Vol.2 No.2, May 23, 2012

  ABSTRACT: In this paper, we consider two types of pricing option in financial markets using quasi Monte Carlo algorithm with variance reduction procedures. We evaluate Asian-style and European-style options pricing based on Black-Scholes model. Finally, some numerical results presented.