How do path generation methods affect the accuracy of quasi-Monte Carlo methods for problems in finance? (Q413476): Difference between revisions

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Latest revision as of 03:23, 5 July 2024

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How do path generation methods affect the accuracy of quasi-Monte Carlo methods for problems in finance?
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    How do path generation methods affect the accuracy of quasi-Monte Carlo methods for problems in finance? (English)
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    7 May 2012
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    asset pricing
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    quasi-Monte Carlo methods
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    effective dimension
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    ANOVA decomposition
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    Brownian bridge
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    principal component analysis
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