Adaptive integration and approximation over hyper-rectangular regions with applications to basket option pricing
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Publication:3068183
DOI10.1515/MCMA.2010.011zbMath1206.65014MaRDI QIDQ3068183
Sylvain Maire, Christophe De Luigi
Publication date: 13 January 2011
Published in: Monte Carlo Methods and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1515/mcma.2010.011
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Robust adaptive numerical integration of irregular functions with applications to basket and other multi-dimensional exotic options, Adaptive stratified Monte Carlo algorithm for numerical computation of integrals
Uses Software
Cites Work
- A new algorithm for adaptive multidimensional integration
- An iterative computation of approximations on Korobov-like spaces.
- Pricing of arithmetic basket options by conditioning.
- Quasi-Monte Carlo quadratures for multivariate smooth functions
- High dimensional integration of smooth functions over cubes
- Lattice Methods for Multiple Integration: Theory, Error Analysis and Examples
- Quasi-Monte Carlo methods and pseudo-random numbers
- Latin supercube sampling for very high-dimensional simulations
- A new optimal Monte Carlo method for calculating integrals of smooth functions