Pricing derivative securities using integrated quasi-Monte Carlo methods with dimension reduction and discontinuity realignment (Q2940001)
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scientific article; zbMATH DE number 6390273
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| English | Pricing derivative securities using integrated quasi-Monte Carlo methods with dimension reduction and discontinuity realignment |
scientific article; zbMATH DE number 6390273 |
Statements
Pricing Derivative Securities Using Integrated Quasi--Monte Carlo Methods with Dimension Reduction and Discontinuity Realignment (English)
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23 January 2015
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linear transformation
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orthogonal transformation
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dimension reduction
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digital options
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quasi-Monte Carlo method
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Lévy process
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fiance
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numerical examples
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0.871412992477417
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0.86800616979599
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0.843043863773346
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0.835088312625885
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0.8304710984230042
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