Monte Carlo methods for security pricing (Q1391435): Difference between revisions

@@ Property / describes a project that uses @@
+TOMS659
@@ Property / describes a project that uses: TOMS659 / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / cites work @@
+Q4369767
@@ Property / cites work: Q4369767 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4158362
@@ Property / cites work: Q4158362 / rank @@
+Normal rank
@@ Property / cites work @@
+Numerical Valuation of High Dimensional Multivariate European Securities
+Normal rank
@@ Property / cites work @@
+Algorithm 659
@@ Property / cites work: Algorithm 659 / rank @@
+Normal rank
@@ Property / cites work @@
+Implementation and tests of low-discrepancy sequences
+Normal rank
@@ Property / cites work @@
+The Valuation of American Options on Multiple Assets
+Normal rank
@@ Property / cites work @@
+Estimating Security Price Derivatives Using Simulation
+Normal rank
@@ Property / cites work @@
+Pricing American-style securities using simulation
+Normal rank
@@ Property / cites work @@
+Valuation of the early-exercise price for options using simulations and nonparametric regression
+Normal rank
@@ Property / cites work @@
+Q3723577
@@ Property / cites work: Q3723577 / rank @@
+Normal rank
@@ Property / cites work @@
+THE GARCH OPTION PRICING MODEL
@@ Property / cites work: THE GARCH OPTION PRICING MODEL / rank @@
+Normal rank
@@ Property / cites work @@
+Empirical Martingale Simulation for Asset Prices
@@ Property / cites work: Empirical Martingale Simulation for Asset Prices / rank @@
+Normal rank
@@ Property / cites work @@
+Efficient Monte Carlo simulation of security prices
+Normal rank
@@ Property / cites work @@
+Discrépance de suites associées à un système de numération (en dimension s)
+Normal rank
@@ Property / cites work @@
+Algorithm 647: Implementation and Relative Efficiency of Quasirandom Sequence Generators
+Normal rank
@@ Property / cites work @@
+Sensitivity Analysis for Monte Carlo Simulation of Option Pricing
+Normal rank
@@ Property / cites work @@
+Q4000306
@@ Property / cites work: Q4000306 / rank @@
+Normal rank
@@ Property / cites work @@
+Filtered Monte Carlo
@@ Property / cites work: Filtered Monte Carlo / rank @@
+Normal rank
@@ Property / cites work @@
+Some Guidelines and Guarantees for Common Random Numbers
+Normal rank
@@ Property / cites work @@
+Simulation methods of queues: An overview
@@ Property / cites work: Simulation methods of queues: An overview / rank @@
+Normal rank
@@ Property / cites work @@
+Indirect Estimation Via <i>L</i> = λ<i>W</i>
@@ Property / cites work: Indirect Estimation Via <i>L</i> = λ<i>W</i> / rank @@
+Normal rank
@@ Property / cites work @@
+The Asymptotic Efficiency of Simulation Estimators
+Normal rank
@@ Property / cites work @@
+Path-Dependent Options: Extending the Monte Carlo Simulation Approach
+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 @@
+Q5732992
@@ Property / cites work: Q5732992 / rank @@
+Normal rank
@@ Property / cites work @@
+A Method for Numerical Integration
@@ Property / cites work: A Method for Numerical Integration / rank @@
+Normal rank
@@ Property / cites work @@
+Q5622304
@@ Property / cites work: Q5622304 / rank @@
+Normal rank
@@ Property / cites work @@
+Quasi-Monte Carlo Methods in Numerical Finance
@@ Property / cites work: Quasi-Monte Carlo Methods in Numerical Finance / rank @@
+Normal rank
@@ Property / cites work @@
+Q3779956
@@ Property / cites work: Q3779956 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4004325
@@ Property / cites work: Q4004325 / rank @@
+Normal rank
@@ Property / cites work @@
+On the Convergence Rates of IPA and FDC Derivative Estimators
+Normal rank
@@ Property / cites work @@
+A Perspective on the Use of Control Variables to Increase the Efficiency of Monte Carlo Simulations
+Normal rank
@@ Property / cites work @@
+Q4749146
@@ Property / cites work: Q4749146 / rank @@
+Normal rank
@@ Property / cites work @@
+A Comparison of Three Methods for Selecting Values of Input Variables in the Analysis of Output from a Computer Code
+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 @@
+Low-discrepancy and low-dispersion sequences
@@ Property / cites work: Low-discrepancy and low-dispersion sequences / rank @@
+Normal rank
@@ Property / cites work @@
+On the Distribution of Pseudo-Random Numbers Generated by the Linear Congruential Method. III
+Normal rank
@@ Property / cites work @@
+Q4003879
@@ Property / cites work: Q4003879 / rank @@
+Normal rank
@@ Property / cites work @@
+Low-discrepancy sequences and global function fields with many rational places
+Normal rank
@@ Property / cites work @@
+Q4352227
@@ Property / cites work: Q4352227 / rank @@
+Normal rank
@@ Property / cites work @@
+Toward real-time pricing of complex financial derivatives
+Normal rank
@@ Property / cites work @@
+Monte Carlo Variance of Scrambled Net Quadrature
@@ Property / cites work: Monte Carlo Variance of Scrambled Net Quadrature / rank @@
+Normal rank
@@ Property / cites work @@
+Q4856469
@@ Property / cites work: Q4856469 / rank @@
+Normal rank
@@ Property / cites work @@
+Convergence of stochastic processes
@@ Property / cites work: Convergence of stochastic processes / rank @@
+Normal rank
@@ Property / cites work @@
+Q5287558
@@ Property / cites work: Q5287558 / rank @@
+Normal rank
@@ Property / cites work @@
+Q3141922
@@ Property / cites work: Q3141922 / rank @@
+Normal rank
@@ Property / cites work @@
+Using Randomization to Break the Curse of Dimensionality
+Normal rank
@@ Property / cites work @@
+On the distribution of points in a cube and the approximate evaluation of integrals
+Normal rank
@@ Property / cites work @@
+Quasi-Random Methods for Estimating Integrals Using Relatively Small Samples
+Normal rank
@@ Property / cites work @@
+Large Sample Properties of Simulations Using Latin Hypercube Sampling
+Normal rank
@@ Property / cites work @@
+Q4840937
@@ Property / cites work: Q4840937 / rank @@
+Normal rank
@@ Property / cites work @@
+Estimation of multidimensional integrals: is Monte Carlo the best method?
+Normal rank
@@ Property / cites work @@
+Integrated Simulation and Optimization Models for Tracking Indices of Fixed-Income Securities
+Normal rank
@@ Property / cites work @@
+On First Integrals of Differential Equations
@@ Property / cites work: On First Integrals of Differential Equations / rank @@
+Normal rank
@@ Property / full work available at URL @@
+https://doi.org/10.1016/s0165-1889(97)00028-6
+Normal rank
@@ Property / OpenAlex ID @@
+W1964916079
@@ Property / OpenAlex ID: W1964916079 / rank @@
+Normal rank