Handling Discontinuities in Financial Engineering: Good Path Simulation and Smoothing (Q5740211): Difference between revisions

@@ Property / full work available at URL @@
+https://doi.org/10.1287/opre.2015.1470
+Normal rank
@@ Property / OpenAlex ID @@
+W2275195990
@@ Property / OpenAlex ID: W2275195990 / rank @@
+Normal rank
@@ Property / cites work @@
+Conditional Sampling for Barrier Option Pricing under the LT Method
+Normal rank
@@ Property / cites work @@
+Q4369767
@@ Property / cites work: Q4369767 / rank @@
+Normal rank
@@ Property / cites work @@
+Multilevel Monte Carlo Quadrature of Discontinuous Payoffs in the Generalized Heston Model Using Malliavin Integration by Parts
+Normal rank
@@ Property / cites work @@
+Monte Carlo integration with quasi-random numbers: Experience with discontinuous integrands
+Normal rank
@@ Property / cites work @@
+Estimating Security Price Derivatives Using Simulation
+Normal rank
@@ Property / cites work @@
+High-dimensional integration: The quasi-Monte Carlo way
+Normal rank
@@ Property / cites work @@
+Q4433608
@@ Property / cites work: Q4433608 / rank @@
+Normal rank
@@ Property / cites work @@
+Good Path Generation Methods in Quasi-Monte Carlo for Pricing Financial Derivatives
+Normal rank
@@ Property / cites work @@
+On the Convergence Rate of Randomized Quasi--Monte Carlo for Discontinuous Functions
+Normal rank
@@ Property / cites work @@
+Pricing Derivative Securities Using Integrated Quasi--Monte Carlo Methods with Dimension Reduction and Discontinuity Realignment
+Normal rank
@@ Property / cites work @@
+Estimating Mean Dimensionality of Analysis of Variance Decompositions
+Normal rank
@@ Property / cites work @@
+Quasi-Random Sequences and Their Discrepancies
@@ Property / cites work: Quasi-Random Sequences and Their Discrepancies / rank @@
+Normal rank
@@ Property / cites work @@
+Quasi-Monte Carlo integration
@@ Property / cites work: Quasi-Monte Carlo integration / rank @@
+Normal rank
@@ Property / cites work @@
+Smoothness and dimension reduction in quasi-Monte Carlo methods
+Normal rank
@@ Property / cites work @@
+The Brownian bridge does not offer a consistent advantage in quasi-Monte Carlo integration
+Normal rank
@@ Property / cites work @@
+When are quasi-Monte Carlo algorithms efficient for high dimensional integrals?
+Normal rank
@@ Property / cites work @@
+Improving the rejection sampling method in quasi-Monte Carlo methods
+Normal rank
@@ Property / cites work @@
+On the Effects of Dimension Reduction Techniques on Some High-Dimensional Problems in Finance
+Normal rank
@@ Property / cites work @@
+Constructing Robust Good Lattice Rules for Computational Finance
+Normal rank
@@ Property / cites work @@
+The effective dimension and quasi-Monte Carlo integration
+Normal rank
@@ Property / cites work @@
+Low discrepancy sequences in high dimensions: how well are their projections distributed?
+Normal rank
@@ Property / cites work @@
+Quasi-Monte Carlo Methods in Financial Engineering: An Equivalence Principle and Dimension Reduction
+Normal rank
@@ Property / cites work @@
+How do path generation methods affect the accuracy of quasi-Monte Carlo methods for problems in finance?
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:5740211