A CENTRAL LIMIT THEOREM FOR LATIN HYPERCUBE SAMPLING WITH DEPENDENCE AND APPLICATION TO EXOTIC BASKET OPTION PRICING

DOI10.1142/S021902491250046XzbMath1255.91424arXiv1311.4698MaRDI QIDQ4902541

Robert F. Tichy, Markus Hofer, Christoph Aistleitner

Publication date: 16 January 2013

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1311.4698

zbMATH Keywords

Monte Carlooption pricingLatin hypercube samplingprobabilistic methodsvariance gammavariance reduction techniques

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Central limit and other weak theorems (60F05) Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (4)

Optimal bounds for integrals with respect to copulas and applications ⋮ Consistency of randomized integration methods ⋮ Comparing M/G/1 queue estimators in Monte Carlo simulation through the tested generator ``getRDS and the proposed ``getLHS using variance reduction ⋮ A new class of continuous Bayesian networks

Cites Work

• Unnamed Item
• The oscillation behavior of empirical processes: The multivariate case
• On the total variation for functions of several variables and a multidimensional analog of Helly's selection principle
• On Latin hypercube sampling
• Weak convergence of empirical copula processes
• A Comparison of Three Methods for Selecting Values of Input Variables in the Analysis of Output from a Computer Code
• Large Sample Properties of Simulations Using Latin Hypercube Sampling
• Latin hypercube sampling with dependence and applications in finance
• Semiparametric estimation in copula models

This page was built for publication: A CENTRAL LIMIT THEOREM FOR LATIN HYPERCUBE SAMPLING WITH DEPENDENCE AND APPLICATION TO EXOTIC BASKET OPTION PRICING