Annals of Computer Science and Information Systems, Volume 23

DOI: http://dx.doi.org/10.15439/2020F109

Citation: Communication Papers of the 2020 Federated Conference on Computer Science and Information Systems, M. Ganzha, L. Maciaszek, M. Paprzycki (eds). ACSIS, Vol. 23, pages 21–24 (2020)

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Abstract. In the present paper we evaluate European style options with an exponential payoff function with an optimized lattice rule based on a new optimal generating vector. A brief introduction of the theory of lattice rule has been given. We compare the performance of the new stochastic approach with a new optimal generating vector for multiple integrals up to 50 dimensions.

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