A central limit theorem and improved error bounds for a hybrid-Monte Carlo sequence with applications in computational finance (Q2507585): Difference between revisions

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scientific article

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English	A central limit theorem and improved error bounds for a hybrid-Monte Carlo sequence with applications in computational finance	scientific article

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scholarly article

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title

A central limit theorem and improved error bounds for a hybrid-Monte Carlo sequence with applications in computational finance (English)

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Journal of Complexity

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publication date

5 October 2006

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full work available at URL

https://hal.inria.fr/inria-00000118/file/PI-1726.pdf

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zbMATH Keywords

mixed sequence

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hybrid-Monte Carlo

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central limit theorem

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discrepancy bounds

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comparison with Monte Carlo and randomized quasi-Monte Carlo methods

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option pricing

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MaRDI profile type

MaRDI publication profile

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cites work

Q4369777

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Q5512461

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Improved upper bounds on the star discrepancy of \((t,m,s)\)-nets and \((t,s)\)-sequences

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Q4767350

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Q4453517

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On the \(L_2\)-discrepancy for anchored boxes

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Q3496342

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A Quasi-Monte Carlo Approach to Particle Simulation of the Heat Equation

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Q4856468

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Smoothness and dimension reduction in quasi-Monte Carlo methods

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Q4003879

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A Probabilistic Result on the Discrepancy of a Hybrid-Monte Carlo Sequence and Applications

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High dimensional simulation

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Randomized quasi-Monte Carlo methods in pricing securities

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Q4856469

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Q4934366

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Variance with alternative scramblings of digital nets

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The Brownian bridge does not offer a consistent advantage in quasi-Monte Carlo integration

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Q4856456

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Identifiers

zbMATH Open document ID

1147.65300

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Mathematics Subject Classification ID

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10.1016/J.JCO.2006.03.003

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Sitelinks

Mathematics(1 entry)

mardi Publication:2507585

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+A Quasi-Monte Carlo Approach to Particle Simulation of the Heat Equation
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+Q4856468
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@@ Property / cites work @@
+Smoothness and dimension reduction in quasi-Monte Carlo methods
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+Q4003879
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+Normal rank
@@ Property / cites work @@
+A Probabilistic Result on the Discrepancy of a Hybrid-Monte Carlo Sequence and Applications
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@@ Property / cites work @@
+High dimensional simulation
@@ Property / cites work: High dimensional simulation / rank @@
+Normal rank
@@ Property / cites work @@
+Randomized quasi-Monte Carlo methods in pricing securities
+Normal rank
@@ Property / cites work @@
+Q4856469
@@ Property / cites work: Q4856469 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4934366
@@ Property / cites work: Q4934366 / rank @@
+Normal rank
@@ Property / cites work @@
+Variance with alternative scramblings of digital nets
+Normal rank
@@ Property / cites work @@
+The Brownian bridge does not offer a consistent advantage in quasi-Monte Carlo integration
+Normal rank
@@ Property / cites work @@
+Q4856456
@@ Property / cites work: Q4856456 / rank @@
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@@ Property / DOI @@
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@@ Property / DOI: 10.1016/J.JCO.2006.03.003 / rank @@
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