Comparison of randomization techniques for low-discrepancy sequences in finance (Q867694)
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scientific article; zbMATH DE number 5127766
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| English | Comparison of randomization techniques for low-discrepancy sequences in finance |
scientific article; zbMATH DE number 5127766 |
Statements
Comparison of randomization techniques for low-discrepancy sequences in finance (English)
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16 February 2007
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Low-discrepancy sequence
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Quasi-Monte Carlo simulation
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Randomization
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Error estimation
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Derivative pricing
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Path dependent option
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0.8388165235519409
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0.8005583882331848
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0.7871770858764648
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