A Global Adaptive Quasi-Monte Carlo Algorithm for Functions of Low Truncation Dimension Applied to Problems from Finance
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Publication:5326133
DOI10.1007/978-3-642-27440-4_34zbMath1270.91103OpenAlexW2233328846MaRDI QIDQ5326133
Dirk Nuyens, Benjamin J. Waterhouse
Publication date: 31 July 2013
Published in: Springer Proceedings in Mathematics & Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/978-3-642-27440-4_34
Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20)
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Uses Software
Cites Work
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