How do path generation methods affect the accuracy of quasi-Monte Carlo methods for problems in finance? (Q413476)
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scientific article; zbMATH DE number 6031131
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| English | How do path generation methods affect the accuracy of quasi-Monte Carlo methods for problems in finance? |
scientific article; zbMATH DE number 6031131 |
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How do path generation methods affect the accuracy of quasi-Monte Carlo methods for problems in finance? (English)
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7 May 2012
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asset pricing
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quasi-Monte Carlo methods
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effective dimension
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ANOVA decomposition
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Brownian bridge
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principal component analysis
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0.859258770942688
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0.796308696269989
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0.7864507436752319
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0.7809191346168518
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