Monte Carlo integration, quadratic resampling, and asset pricing

DOI10.1016/0378-4754(93)E0080-OzbMATH Open0831.65022MaRDI QIDQ1897672FDOQ1897672

Authors: Jérôme Barraquand 

Publication date: 18 February 1996

Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)

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zbMATH Keywords

quasi-Monte Carlo methodsmultidimensional numerical integrationlow-discrepancy point setsmultivariate Walsh series

Mathematics Subject Classification ID

Numerical quadrature and cubature formulas (65D32)

Cites Work

• Title not available (Why is that?)
• Multi-stage stochastic linear programs for portfolio optimization
• Numerical Valuation of High Dimensional Multivariate European Securities

Cited In (3)

• An algorithm for QMC integration using low-discrepancy lattice sets
• High-dimensional numerical integration
• Title not available (Why is that?)

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