Enhancing quasi-Monte Carlo methods by exploiting additive approximation for problems in finance

DOI10.1137/100814597MaRDI QIDQ2882790zbMATH OpenOpenAlexFDO

Authors Xiaoqun Wang

Publication date 7 May 2012

Published in SIAM Journal on Scientific Computing (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/100814597

zbMATH Keywords

Brownian Bridgecomputational financecontrol variateshigh-dimensional model representationimportance samplingprincipal component analysisquasi-Monte Carlo methods

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Numerical integration (65D30) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)

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Cited in

(2)

• Spatial low-discrepancy sequences, spherical cone discrepancy, and applications in financial modeling
• A smooth estimator for MC/QMC methods in finance

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