An auto-realignment method in quasi-Monte Carlo for pricing financial derivatives with jump structures (Q323335): Difference between revisions
From MaRDI portal
Set profile property. |
Set OpenAlex properties. |
||
| Property / full work available at URL | |||
| Property / full work available at URL: https://doi.org/10.1016/j.ejor.2016.03.034 / rank | |||
Normal rank | |||
| Property / OpenAlex ID | |||
| Property / OpenAlex ID: W2309752015 / rank | |||
Normal rank | |||
Latest revision as of 00:07, 20 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | An auto-realignment method in quasi-Monte Carlo for pricing financial derivatives with jump structures |
scientific article |
Statements
An auto-realignment method in quasi-Monte Carlo for pricing financial derivatives with jump structures (English)
0 references
7 October 2016
0 references
pricing
0 references
QMC
0 references
OT method
0 references
QR decomposition
0 references
auto-realignment method
0 references
