Quasi-Monte Carlo methods with applications in finance
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Publication:964676
DOI10.1007/s00780-009-0095-yzbMath1199.65004WikidataQ115201929 ScholiaQ115201929MaRDI QIDQ964676
Publication date: 22 April 2010
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00780-009-0095-y
numerical examples; discrepancy; variance reduction; finance; quasi-Monte Carlo methods; effective dimension
Related Items
Existence and construction of shifted lattice rules with an arbitrary number of points and bounded weighted star discrepancy for general decreasing weights, Coupling from the past with randomized quasi-Monte Carlo, Numerical methods for Lévy processes, On parallel asset-liability management in life insurance: a forward risk-neutral approach
Uses Software
Cites Work
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