Monte Carlo integration, quadratic resampling, and asset pricing

DOI10.1016/0378-4754(93)E0080-OMaRDI QIDQ1897672zbMATH OpenFDO

Authors Jérôme Barraquand

Publication date 18 February 1996

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

zbMATH Keywords

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

Mathematics Subject Classification ID

Numerical quadrature and cubature formulas (65D32)

Recommendations

• On the numerical integration of high-dimensional Walsh-series by quasi-Monte Carlo methods
• Optimal Polynomials for (T,M,S)-Nets and Numerical Integration of Multivariate Walsh Series
• Quasi–Monte Carlo integration over $\mathbb {R}^d$
• scientific article; zbMATH DE number 822317
• Introduction to quasi-Monte Carlo integration and applications

Cites work

• scientific article; zbMATH DE number 3196612 (Why is no real title available?)
• 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
• scientific article; zbMATH DE number 1786482 (Why is no real title available?)

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