An iterative algorithm to determine the number of time steps in path generation methods (Q2814080): Difference between revisions

@@ Property / cites work @@
+Q4003879
@@ Property / cites work: Q4003879 / rank @@
+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 @@
+Smoothness and dimension reduction in quasi-Monte Carlo methods
+Normal rank
@@ Property / cites work @@
+How do path generation methods affect the accuracy of quasi-Monte Carlo methods for problems in finance?
+Normal rank
@@ Property / cites work @@
+When are quasi-Monte Carlo algorithms efficient for high dimensional integrals?
+Normal rank
@@ Property / cites work @@
+New Brownian bridge construction in quasi-Monte Carlo methods for computational finance
+Normal rank
@@ Property / cites work @@
+The Brownian bridge does not offer a consistent advantage in quasi-Monte Carlo integration
+Normal rank
@@ Property / cites work @@
+Quasi-Monte Carlo Methods in Financial Engineering: An Equivalence Principle and Dimension Reduction
+Normal rank
@@ Property / cites work @@
+Fast orthogonal transforms and generation of Brownian paths
+Normal rank
@@ Property / cites work @@
+Good Path Generation Methods in Quasi-Monte Carlo for Pricing Financial Derivatives
+Normal rank
@@ Property / cites work @@
+Valuing American Options by Simulation: A Simple Least-Squares Approach
+Normal rank
@@ Property / cites work @@
+A Global Adaptive Quasi-Monte Carlo Algorithm for Functions of Low Truncation Dimension Applied to Problems from Finance
+Normal rank
@@ Property / cites work @@
+On the tractability of the Brownian bridge algorithm
+Normal rank
@@ Property / cites work @@
+Multilevel Monte Carlo Path Simulation
@@ Property / cites work: Multilevel Monte Carlo Path Simulation / rank @@
+Normal rank
@@ Property / cites work @@
+The Pricing of Options and Corporate Liabilities
@@ Property / cites work: The Pricing of Options and Corporate Liabilities / rank @@
+Normal rank