Quasi-Monte Carlo for Efficient Fourier Pricing of Multi-Asset Options

By Christian Bayer, Chiheb Ben Hammouda, Antonis Papapantoleon, Michael Samet, Raúl Tempone

Published 2024-03-05

Everscope rating

1711.7

Relevance to quantitative trading

8 / 10

Implementation complexity

7 / 10

Reproducibility

4 / 5

About this paper

Methodology: Randomized Quasi-Monte Carlo with Domain Transformation. Problem types: Numerical Integration, Option Pricing.

arXiv:2403.02832 · Code · Paper rankings

Open the interactive Everscope explorer for full analysis, charts, and paper battles.