An aspect of optimal regression design for LSMC

DOI10.1515/MCMA-2019-2049MaRDI QIDQ2293277zbMATH OpenOpenAlexWikidataFDO

Authors Christian Weiß, Zoran S. Nikolić

Publication date 7 February 2020

Published in Monte Carlo Methods and Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1811.08509

zbMATH Keywords

least squares Monte Carlolow-discrepancy sequencesnumerical stabilityorthonormal polynomialsSobol sequences

Mathematics Subject Classification ID

Irregularities of distribution, discrepancy (11K38) Numerical computation of matrix norms, conditioning, scaling (65F35)

Cites work

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• Irregularities of distribution, VII
• Nested simulation in portfolio risk measurement
• On the calculation of risk measures using least-squares Monte Carlo
• Some basic hypergeometric orthogonal polynomials that generalize Jacobi polynomials
• Valuation of the early-exercise price for options using simulations and nonparametric regression

Cited in

(4)

• A generalized Faulhaber inequality, improved bracketing covers, and applications to discrepancy
• Modeling surrender risk in life insurance: theoretical and experimental insight
• Hammersley point sets and inverse of star-discrepancy
• New bounds for the extreme and the star discrepancy of double-infinite matrices

Describes a project that uses

Uses Software

• TOMS659
• sobol.cc

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