Implementing de-biased estimators using mixed sequences
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Cites work
- scientific article; zbMATH DE number 1999206 (Why is no real title available?)
- scientific article; zbMATH DE number 822307 (Why is no real title available?)
- A Probabilistic Result on the Discrepancy of a Hybrid-Monte Carlo Sequence and Applications
- A central limit theorem and improved error bounds for a hybrid-Monte Carlo sequence with applications in computational finance
- A general method for debiasing a Monte Carlo estimator
- A theory of the term structure of interest rates
- Algorithm 659
- Correction of a proof in “A probabilistic result on the discrepancy of a hybrid-Monte Carlo sequence and applications”
- Efficient Monte Carlo simulation of security prices
- Mersenne twister
- On the \(L_2\)-discrepancy for anchored boxes
- Randomized quasi-Monte Carlo methods in pricing securities
- Remark on algorithm 659
- Unbiased estimation with square root convergence for SDE models
- Uniformly distributed sequences with an additional uniform property
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