A combined Monte Carlo and quasi-Monte Carlo method with applications to option pricing (Q3558400)
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scientific article; zbMATH DE number 5703621
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| default for all languages | No label defined |
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| English | A combined Monte Carlo and quasi-Monte Carlo method with applications to option pricing |
scientific article; zbMATH DE number 5703621 |
Statements
4 May 2010
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Monte Carlo integration
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quasi-Monte Carlo integration
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\(G-\)discrepancy
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sequences with low \(G-\)discrepancy
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normal inverse Gaussian distribution
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option pricing
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0.8880190849304199
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0.8143473267555237
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