A global adaptive quasi-Monte Carlo algorithm for functions of low truncation dimension applied to problems from finance (Q5326133)
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scientific article; zbMATH DE number 6193387
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| English | A global adaptive quasi-Monte Carlo algorithm for functions of low truncation dimension applied to problems from finance |
scientific article; zbMATH DE number 6193387 |
Statements
A Global Adaptive Quasi-Monte Carlo Algorithm for Functions of Low Truncation Dimension Applied to Problems from Finance (English)
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31 July 2013
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performance
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quasi-Monte Carlo method
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low effective dimension
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point set re-ordering
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option pricing
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0.8134377598762512
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0.8132407069206238
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0.8062479496002197
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0.8038684129714966
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0.7999135851860046
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