Advanced Monte Carlo optimizations for multidimensional European style options
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Cites work
- A Comparison of Three Methods for Selecting Values of Input Variables in the Analysis of Output from a Computer Code
- Algorithm 647: Implementation and Relative Efficiency of Quasirandom Sequence Generators
- Algorithm 659
- An economic method of computing LPτ-sequences
- Computation of the unknown volatility from integral option price observations in jump-diffusion models
- Existence of good lattice points in the sense of Hlawka
- Fast reconstruction of time-dependent market volatility for European options
- scientific article; zbMATH DE number 4081235 (Why is no real title available?)
- scientific article; zbMATH DE number 53679 (Why is no real title available?)
- scientific article; zbMATH DE number 3454731 (Why is no real title available?)
- scientific article; zbMATH DE number 841285 (Why is no real title available?)
- scientific article; zbMATH DE number 1390113 (Why is no real title available?)
- Monte Carlo Methods for Applied Scientists
- On the efficiency of certain quasi-random sequences of points in evaluating multi-dimensional integrals
- Option pricing: A simplified approach
- Pricing American-style securities using simulation
- Remark on algorithm 659
- The pricing of options and corporate liabilities
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