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L. Cao and Z. F. Gue, “Delata Hedging with Deltas from a Geometric Brownian Mo-tion Process,” Proceeding Conference on Applied Financial Economic, Samos Island, March 2011.

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.