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Quasi-Monte Carlo methods for derivatives on realised variance of an index under the benchmark approach. (English) Zbl 1386.91157
Summary: We apply quasi-Monte Carlo methods to the pricing of derivatives on realised variance of an index under the benchmark approach. The resulting integration problem is shown to depend on the joint density of the realised variance of the index and the terminal value of the index. Employing a transformation mapping for this joint density to the unit square reduces the difficulty of the resulting integration problem. The quasi-Monte Carlo methods compare favourably to Monte Carlo methods when applied to the given problem.

MSC:
91G60 Numerical methods (including Monte Carlo methods)
65C05 Monte Carlo methods
91G20 Derivative securities (option pricing, hedging, etc.)
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