New Results on Deterministic Pricing of Financial Derivatives

Monte Carlo simulation is widely used to price complex financial instruments Recent theoretical results and extensive computer testing indicate that deterministic methods may be far superior in speed and confidence. Simulations using the Sobol or Faure points are examples of deterministic methods. For the sake of brevity we refer to a deterministic method using the name of the sequence of points which the method uses (e.g. Sobol method.)