Comparison of randomization techniques for low-discrepancy sequences in finance

DOI10.1007/S10690-006-9025-6MaRDI QIDQ867694zbMATH OpenOpenAlexFDO

Authors Tsutomu Tamura

Publication date 16 February 2007

Published in Asia-Pacific Financial Markets (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10690-006-9025-6

zbMATH Keywords

Error estimationDerivative pricingLow-discrepancy sequencePath dependent optionQuasi-Monte Carlo simulationRandomization

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82)

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Cites work

• scientific article; zbMATH DE number 53679 (Why is no real title available?)
• scientific article; zbMATH DE number 1220657 (Why is no real title available?)
• scientific article; zbMATH DE number 781100 (Why is no real title available?)
• scientific article; zbMATH DE number 1390120 (Why is no real title available?)
• scientific article; zbMATH DE number 274379 (Why is no real title available?)
• Monte Carlo Variance of Scrambled Net Quadrature
• Randomized Halton sequences
• THE EFFECT OF RANDOMIZED LOW DISCREPANCY SEQUENCES IN OPTION PRICING(Special Issue on Theory, Methodology and Applications in Financial Engneering)
• Toward real-time pricing of complex financial derivatives

Cited in

(3)

• Random sampling from low-discrepancy sequences: applications to option pricing
• Applications of randomized low discrepancy sequences to the valuation of complex securities
• Pricing Bermudan options using low-discrepancy mesh methods

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