Efficient Simulations for Exotic Options under NIG Model

This paper discusses the Monte Carlo and quasi-Monte Carlo methods combined with some variance reduction techniques for exotic option pricing where the log returns of the underlying asset prices follow both the NIG and the normal distributions. An arithmetic Asian option and an Up-and-Out Asian option are considered in this paper. Our test results show that variance reduction methods can usually reduce variances significantly if they are chosen carefully. The results also show that the (randomized) quasi-Monte Carlo method is more efficient than the Monte Carlo method if both are combined with the same variance reduction method.