On a Full Stochastic Optimization Approach for European Option Pricing

In the contemporary finance the Monte Carlo and quasi-Monte Carlo methods are solid instruments to solve various problems. In the paper the problem of deriving the fair value of European style options is considered. Regarding the option pricing problems, Monte Carlo methods are extremely efficient and useful, especially in higher dimensions. In this paper we show simulation optimization methods based on both low discrepancy sequences and variance reduction methods which essentially improve the accuracy of the standard approaches for European style options.