A central limit theorem for Latin hypercube sampling with dependence and application to exotic basket option pricing (Q4902541)
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scientific article; zbMATH DE number 6125921
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| English | A central limit theorem for Latin hypercube sampling with dependence and application to exotic basket option pricing |
scientific article; zbMATH DE number 6125921 |
Statements
A CENTRAL LIMIT THEOREM FOR LATIN HYPERCUBE SAMPLING WITH DEPENDENCE AND APPLICATION TO EXOTIC BASKET OPTION PRICING (English)
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16 January 2013
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Monte Carlo
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variance reduction techniques
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Latin hypercube sampling
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option pricing
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variance gamma
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probabilistic methods
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0.8614543080329895
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0.8167481422424316
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0.7525011301040649
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0.7519155740737915
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