Randomized quasi-Monte Carlo methods in pricing securities

DOI10.1016/J.JEDC.2003.11.003zbMath1202.91341OpenAlexW1966558972MaRDI QIDQ953725

Warren Eastman, Giray Ökten

Publication date: 6 November 2008

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jedc.2003.11.003

zbMATH Keywords

option pricingeffects of Box-Muller and inverse transformationsurvey of randomized quasi-Monte Carlo methods

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Derivative securities (option pricing, hedging, etc.) (91G20)

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Uses Software

• Algorithm 823
• bootstrap

Cites Work

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