Applications of randomized low discrepancy sequences to the valuation of complex securities

DOI10.1016/S0165-1889(99)00087-1zbMath0967.91059OpenAlexW2149736324WikidataQ126773722 ScholiaQ126773722MaRDI QIDQ1583155

Phelim P. Boyle, Ken Seng Tan

Publication date: 26 October 2000

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0165-1889(99)00087-1

zbMATH Keywords

deterministic sequenceslow discrepancy sequencesstandard errorOwen's techniquequasi-random Monte Carlo

Mathematics Subject Classification ID

Random number generation in numerical analysis (65C10) Statistical methods; economic indices and measures (91B82)

Related Items (11)

Subsampling bias and the best-discrepancy systematic cross validation ⋮ Efficient algorithms of pathwise dynamic programming for decision optimization in mining operations ⋮ Computational investigations of scrambled Faure sequences ⋮ On a Full Monte Carlo Approach to Computational Finance ⋮ Pricing Options Using Lattice Rules ⋮ Alternative sampling methods for estimating multivariate normal probabilities ⋮ Pricing Bermudan options using low-discrepancy mesh methods ⋮ Valuation of the Reset Options Embedded in Some Equity-Linked Insurance Products ⋮ Randomized quasi-Monte Carlo methods in pricing securities ⋮ Computation of optimal portfolios using simulation-based dimension reduction ⋮ Real-Time Valuation of Large Variable Annuity Portfolios: A Green Mesh Approach

Uses Software

• Algorithm 647

Cites Work

• Point sets and sequences with small discrepancy
• On the efficiency of certain quasi-random sequences of points in evaluating multi-dimensional integrals
• Randomization of lattice rules for numerical multiple integration
• An improved low-discrepancy sequence for multidimensional quasi-Monte Carlo integration
• Good permutations for extreme discrepancy
• Scrambled net variance for integrals of smooth functions
• Monte Carlo methods for security pricing
• Quasi-Monte Carlo integration
• Discrépance de suites associées à un système de numération (en dimension s)
• Randomization of Number Theoretic Methods for Multiple Integration
• Quasi-Random Sequences and Their Discrepancies
• Quasi-Monte Carlo Methods in Numerical Finance
• The mean square discrepancy of randomized nets
• Monte Carlo Variance of Scrambled Net Quadrature
• Toward real-time pricing of complex financial derivatives
• Algorithm 647: Implementation and Relative Efficiency of Quasirandom Sequence Generators
• Implementation and tests of low-discrepancy sequences
• On the distribution of points in a cube and the approximate evaluation of integrals
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