Applications of randomized low discrepancy sequences to the valuation of complex securities (Q1583155): Difference between revisions

@@ Property / author @@
+Ken Seng Tan
@@ Property / author: Ken Seng Tan / rank @@
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@@ Property / author @@
+Phelim P. Boyle
@@ Property / author: Phelim P. Boyle / rank @@
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@@ Property / describes a project that uses @@
+Algorithm 647
@@ Property / describes a project that uses: Algorithm 647 / rank @@
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@@ Property / cites work @@
+Q4066363
@@ Property / cites work: Q4066363 / rank @@
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@@ Property / cites work @@
+Monte Carlo methods for security pricing
@@ Property / cites work: Monte Carlo methods for security pricing / rank @@
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@@ Property / cites work @@
+An improved low-discrepancy sequence for multidimensional quasi-Monte Carlo integration
+Normal rank
@@ Property / cites work @@
+Implementation and tests of low-discrepancy sequences
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@@ Property / cites work @@
+Randomization of Number Theoretic Methods for Multiple Integration
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@@ Property / cites work @@
+Q3730807
@@ Property / cites work: Q3730807 / rank @@
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@@ Property / cites work @@
+Discrépance de suites associées à un système de numération (en dimension s)
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@@ Property / cites work @@
+Good permutations for extreme discrepancy
@@ Property / cites work: Good permutations for extreme discrepancy / rank @@
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@@ Property / cites work @@
+Algorithm 647: Implementation and Relative Efficiency of Quasirandom Sequence Generators
+Normal rank
@@ Property / cites work @@
+On the efficiency of certain quasi-random sequences of points in evaluating multi-dimensional integrals
+Normal rank
@@ Property / cites work @@
+The mean square discrepancy of randomized nets
@@ Property / cites work: The mean square discrepancy of randomized nets / rank @@
+Normal rank
@@ Property / cites work @@
+Randomization of lattice rules for numerical multiple integration
+Normal rank
@@ Property / cites work @@
+Quasi-Monte Carlo Methods in Numerical Finance
@@ Property / cites work: Quasi-Monte Carlo Methods in Numerical Finance / rank @@
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@@ Property / cites work @@
+Quasi-Random Sequences and Their Discrepancies
@@ Property / cites work: Quasi-Random Sequences and Their Discrepancies / rank @@
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@@ Property / cites work @@
+Quasi-Monte Carlo integration
@@ Property / cites work: Quasi-Monte Carlo integration / rank @@
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@@ Property / cites work @@
+Point sets and sequences with small discrepancy
@@ Property / cites work: Point sets and sequences with small discrepancy / rank @@
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@@ Property / cites work @@
+Q4003879
@@ Property / cites work: Q4003879 / rank @@
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@@ Property / cites work @@
+Toward real-time pricing of complex financial derivatives
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+Q4856469
@@ Property / cites work: Q4856469 / rank @@
+Normal rank
@@ Property / cites work @@
+Monte Carlo Variance of Scrambled Net Quadrature
@@ Property / cites work: Monte Carlo Variance of Scrambled Net Quadrature / rank @@
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@@ Property / cites work @@
+Scrambled net variance for integrals of smooth functions
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@@ Property / cites work @@
+Q4226827
@@ Property / cites work: Q4226827 / rank @@
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@@ Property / cites work @@
+Q5289008
@@ Property / cites work: Q5289008 / rank @@
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@@ Property / cites work @@
+On the distribution of points in a cube and the approximate evaluation of integrals
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+Q126773722
@@ Property / Wikidata QID: Q126773722 / rank @@
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@@ Property / full work available at URL @@
+https://doi.org/10.1016/s0165-1889(99)00087-1
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+W2149736324
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