A central limit theorem and improved error bounds for a hybrid-Monte Carlo sequence with applications in computational finance (Q2507585)
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scientific article; zbMATH DE number 5060488
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| English | A central limit theorem and improved error bounds for a hybrid-Monte Carlo sequence with applications in computational finance |
scientific article; zbMATH DE number 5060488 |
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A central limit theorem and improved error bounds for a hybrid-Monte Carlo sequence with applications in computational finance (English)
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5 October 2006
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mixed sequence
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hybrid-Monte Carlo
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central limit theorem
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discrepancy bounds
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comparison with Monte Carlo and randomized quasi-Monte Carlo methods
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option pricing
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0.8375066518783569
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0.8345690369606018
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0.8252809047698975
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0.8129603862762451
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