Conditional quasi-Monte Carlo methods and dimension reduction for option pricing and hedging with discontinuous functions (Q1643844): Difference between revisions
From MaRDI portal
Set profile property. |
Set OpenAlex properties. |
||
| Property / full work available at URL | |||
| Property / full work available at URL: https://doi.org/10.1016/j.cam.2018.05.004 / rank | |||
Normal rank | |||
| Property / OpenAlex ID | |||
| Property / OpenAlex ID: W2807383024 / rank | |||
Normal rank | |||
Revision as of 23:18, 19 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Conditional quasi-Monte Carlo methods and dimension reduction for option pricing and hedging with discontinuous functions |
scientific article |
Statements
Conditional quasi-Monte Carlo methods and dimension reduction for option pricing and hedging with discontinuous functions (English)
0 references
20 June 2018
0 references
option pricing
0 references
Greeks
0 references
quasi-Monte Carlo
0 references
smoothing
0 references
dimension reduction
0 references
