Applications of randomized low discrepancy sequences to the valuation of complex securities
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Publication:1583155
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Cited in
(21)- Random sampling from low-discrepancy sequences: applications to option pricing
- Efficient algorithms of pathwise dynamic programming for decision optimization in mining operations
- Spatial low-discrepancy sequences, spherical cone discrepancy, and applications in financial modeling
- Alternative sampling methods for estimating multivariate normal probabilities
- Computation of optimal portfolios using simulation-based dimension reduction
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- On the use of low discrepancy sequences in Monte Carlo methods
- Real-time valuation of large variable annuity portfolios: a Green mesh approach
- Pricing Options Using Lattice Rules
- scientific article; zbMATH DE number 1222809 (Why is no real title available?)
- scientific article; zbMATH DE number 1759475 (Why is no real title available?)
- THE EFFECT OF RANDOMIZED LOW DISCREPANCY SEQUENCES IN OPTION PRICING(Special Issue on Theory, Methodology and Applications in Financial Engneering)
- Pricing Bermudan options using low-discrepancy mesh methods
- Valuation of the Reset Options Embedded in Some Equity-Linked Insurance Products
- On a Full Monte Carlo Approach to Computational Finance
- Computational investigations of scrambled Faure sequences
- A generalization of the parameterized expectations algorithm
- Dimension reduction for quasi-Monte Carlo methods via quadratic regression
- Subsampling bias and the best-discrepancy systematic cross validation
- Comparison of randomization techniques for low-discrepancy sequences in finance
- Randomized quasi-Monte Carlo methods in pricing securities
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