A mixed Monte Carlo and quasi-Monte Carlo method with applications to mathematical finance (Q3392415)
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scientific article; zbMATH DE number 5595432
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| English | A mixed Monte Carlo and quasi-Monte Carlo method with applications to mathematical finance |
scientific article; zbMATH DE number 5595432 |
Statements
14 August 2009
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Monte Carlo integration
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quasi-Monte Carlo integration
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normal inverse Gaussian distribution
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\(H\)-discrepancy
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\(H\)-distributed low-discrepancy sequences, \(H\)-mixed sequences
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option pricing
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0.8880190849304199
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0.8591858744621277
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0.8148491382598877
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