Parameterization based on randomized quasi-Monte Carlo methods

DOI10.1016/J.PARCO.2010.03.003MaRDI QIDQ991136zbMATH OpenOpenAlexFDO

Authors Giray Ökten, Matthew Willyard

Publication date 2 September 2010

Published in Parallel Computing (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.parco.2010.03.003

zbMATH Keywords

option pricingparameterizationrandomized quasi-Monte Carlo

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Randomized algorithms (68W20) Parallel algorithms in computer science (68W10)

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• The Brownian bridge does not offer a consistent advantage in quasi-Monte Carlo integration
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• The mean square discrepancy of randomized nets
• Toward real-time pricing of complex financial derivatives

Cited in

(6)

• High-performance financial simulation using randomized quasi-Monte Carlo methods
• Good Parameters for a Class of Node Sets in Quasi-Monte Carlo Integration
• Parameter augmentation and the \(q\)-Gosper algorithm
• Optimal search for parameters in Monte Carlo simulation for derivative pricing
• A New Quasi-Monte Carlo Technique Based on Nonnegative Least Squares and Approximate Fekete Points
• Parallel fully vectorized \textit{Marsa-LFIB4}: algorithmic and language-based optimization of recursive computations

Describes a project that uses

Uses Software

• SPRNG

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