L3
Quasi-Monte Carlo & Sobol Sequences
Quant Researcher · Numerical Implementation
Question
Price a 10-asset basket call using quasi-Monte Carlo with a Sobol sequence and Brownian bridge path construction. Compare convergence against plain Monte Carlo and antithetic Monte Carlo. State the Koksma-Hlawka theorem and explain why effective dimension is the key driver of QMC performance for this payoff.