scientific article; zbMATH DE number 1103058
From MaRDI portal
Publication:4369767
zbMath0888.90010MaRDI QIDQ4369767
Mark N. Broadie, Paul Glasserman, Peter Acworth
Publication date: 12 January 1998
Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20)
Related Items (48)
The price of pessimism for multidimensional quadrature ⋮ Quasi-Monte Carlo simulation for American option sensitivities ⋮ Conditional quasi-Monte Carlo methods and dimension reduction for option pricing and hedging with discontinuous functions ⋮ An auto-realignment method in quasi-Monte Carlo for pricing financial derivatives with jump structures ⋮ Randomly shifted lattice rules for unbounded integrands ⋮ On the use of dimension reduction techniques in quasi-Monte Carlo methods ⋮ Equivalence between Sobolev spaces of first-order dominating mixed smoothness and unanchored ANOVA spaces on ℝ^{𝕕} ⋮ On initial populations of a genetic algorithm for continuous optimization problems ⋮ Short Communication: Projection of Functionals and Fast Pricing of Exotic Options ⋮ Monte Carlo methods for security pricing ⋮ Comparison of Sobol' sequences in financial applications ⋮ How do path generation methods affect the accuracy of quasi-Monte Carlo methods for problems in finance? ⋮ Fast orthogonal transforms and generation of Brownian paths ⋮ Sufficient conditions for fast quasi-Monte Carlo convergence ⋮ Pricing and hedging Asian basket options with quasi-Monte Carlo simulations ⋮ BARRIER OPTIONS PRICING WITH JOINT DISTRIBUTION OF GAUSSIAN PROCESS AND ITS MAXIMUM ⋮ The ANOVA decomposition of a non-smooth function of infinitely many variables can have every term smooth ⋮ Efficient Monte Carlo simulation for integral functionals of Brownian motion ⋮ Hierarchical adaptive sparse grids and quasi-Monte Carlo for option pricing under the rough Bergomi model ⋮ Primal–dual quasi-Monte Carlo simulation with dimension reduction for pricing American options ⋮ Effective Dimension of Some Weighted Pre-Sobolev Spaces with Dominating Mixed Partial Derivatives ⋮ Randomized quasi-Monte Carlo methods in pricing securities ⋮ Exact sampling with highly uniform point sets ⋮ Local antithetic sampling with scrambled nets ⋮ Intermediate rank lattice rules and applications to finance ⋮ Fast CBC construction of randomly shifted lattice rules achieving \(\mathcal{O}(n^{- 1 + \delta})\) convergence for unbounded integrands over \(\mathbb{R}^s\) in weighted spaces with POD weights ⋮ Low discrepancy sequences in high dimensions: how well are their projections distributed? ⋮ A stochastic programming model for asset liability management of a Finnish pension company ⋮ High-dimensional integration on \(\mathbb{R}^d\), weighted Hermite spaces, and orthogonal transforms ⋮ Quasi-Monte Carlo methods with applications in finance ⋮ New Brownian bridge construction in quasi-Monte Carlo methods for computational finance ⋮ Efficient Computation of Option Prices and Greeks by Quasi--Monte Carlo Method with Smoothing and Dimension Reduction ⋮ Handling Discontinuities in Financial Engineering: Good Path Simulation and Smoothing ⋮ Randomly shifted lattice rules on the unit cube for unbounded integrands in high dimensions ⋮ Good lattice rules in weighted Korobov spaces with general weights ⋮ Dimension-wise integration of high-dimensional functions with applications to finance ⋮ Optimal randomized changing dimension algorithms for infinite-dimensional integration on function spaces with ANOVA-type decomposition ⋮ The sparse structure of high-dimensional integrands ⋮ Brownian Path Generation and Polynomial Chaos ⋮ Towards hybrid system modeling of uncertain complex dynamical systems ⋮ Computation of optimal portfolios using simulation-based dimension reduction ⋮ Efficient quasi-Monte simulations for pricing high-dimensional path-dependent options ⋮ Efficient deterministic numerical simulation of stochastic asset-liability management models in life insurance ⋮ Valuing convertible bonds based on LSRQM method ⋮ Efficient Importance Sampling in Quasi-Monte Carlo Methods for Computational Finance ⋮ The Brownian bridge does not offer a consistent advantage in quasi-Monte Carlo integration ⋮ Integration in Hermite spaces of analytic functions ⋮ The effective dimension and quasi-Monte Carlo integration
Uses Software
This page was built for publication:
