On the Effects of Dimension Reduction Techniques on Some High-Dimensional Problems in Finance

DOI10.1287/opre.1060.0334zbMath1167.91376MaRDI QIDQ3392044

Xiaoqun Wang

Publication date: 13 August 2009

Published in: Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1287/opre.1060.0334

Mathematics Subject Classification ID

91G60: Numerical methods (including Monte Carlo methods)

65C05: Monte Carlo methods