The unreasonable effectiveness of randomised quasi-Monte Carlo in finance
An analysis of simulation methods shows which works best for Asian options
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Julien Hok and Sergei Kucherenko investigate Monte Carlo, quasi-Monte Carlo (QMC) and randomised quasi-Monte Carlo (RQMC) methods for option pricing and risk analysis under the time-homogeneous hyperbolic local volatility model. Numerical experiments for Asian options show that RQMC methods substantially outperform standard Monte Carlo, with principal component
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