Adaptive integration and approximation over hyper-rectangular regions with applications to basket option pricing (Q3068183): Difference between revisions

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+A new optimal Monte Carlo method for calculating integrals of smooth functions
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+Pricing of arithmetic basket options by conditioning.
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+A new algorithm for adaptive multidimensional integration
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+An iterative computation of approximations on Korobov-like spaces.
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+Quasi-Monte Carlo quadratures for multivariate smooth functions
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+Quasi-Monte Carlo methods and pseudo-random numbers
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+High dimensional integration of smooth functions over cubes
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+Latin supercube sampling for very high-dimensional simulations
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+Lattice Methods for Multiple Integration: Theory, Error Analysis and Examples
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