Pricing Derivative Securities Using Integrated Quasi--Monte Carlo Methods with Dimension Reduction and Discontinuity Realignment (Q2940001)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Pricing Derivative Securities Using Integrated Quasi--Monte Carlo Methods with Dimension Reduction and Discontinuity Realignment |
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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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