Efficient Computation of Option Prices and Greeks by Quasi--Monte Carlo Method with Smoothing and Dimension Reduction (Q5738153)
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scientific article; zbMATH DE number 6724596
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| English | Efficient Computation of Option Prices and Greeks by Quasi--Monte Carlo Method with Smoothing and Dimension Reduction |
scientific article; zbMATH DE number 6724596 |
Statements
Efficient Computation of Option Prices and Greeks by Quasi--Monte Carlo Method with Smoothing and Dimension Reduction (English)
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31 May 2017
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option pricing
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Greeks
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quasi-Monte Carlo
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smoothing
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dimension reduction
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\(k\)-means clustering algorithm
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0.9266743
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0.92244256
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0.92199206
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0.91867673
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0.91623616
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0.90784264
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0.90268743
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0.9009808
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0.8983811
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