An auto-realignment method in quasi-Monte Carlo for pricing financial derivatives with jump structures (Q323335)
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scientific article; zbMATH DE number 6636463
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| English | An auto-realignment method in quasi-Monte Carlo for pricing financial derivatives with jump structures |
scientific article; zbMATH DE number 6636463 |
Statements
An auto-realignment method in quasi-Monte Carlo for pricing financial derivatives with jump structures (English)
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7 October 2016
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pricing
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QMC
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OT method
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QR decomposition
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auto-realignment method
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0.89648664
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0.8686258
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0.86807084
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0.86318415
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0.86299026
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0.86164427
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0.8612833
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0.8602957
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