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
| Language | Label | Description | Also known as |
|---|---|---|---|
| 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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