Comparison of Monte Carlo Simulation and Quasi-Monte Carlo Simulation in Option Pricing

In options trading, the most critical problem is the determination of option prices.Monte Carlo simulation, an effective method for option pricing,had rapid development in recent years.However, Monte Carlo method generated pseudo-random numbers, which shows slow convergence rate, large amount of calculation.Quasi-Monte Carlo simulation is proposed to replace the quasi-random numbers sequences of pseudo-random number sequences of Monte Carlo simulation.This method for the improvement of estimated effect depends on the random sequences’ distribution homogeneity in sample space.A linear congruence generator is studied; Halton sequences, Sobol’ sequences,and the characteristics of such random number sequences.European-style call option as an example to study the effectiveness of the proposed Monte Carlo method, pseudo-random sequence and random sequence carried out Monte Carlo simulation in financial calculations, as the contrastive experiment shows the Quasi-Monte Carlo simulation has high precision, speed and so on.