New Brownian bridge construction in quasi-Monte Carlo methods for computational finance

DOI10.1016/J.JCO.2007.06.001zbMATH Open1133.91430OpenAlexW1979630192MaRDI QIDQ2483201FDOQ2483201

Authors: Junyi Lin, Xiaoqun Wang 

Publication date: 28 April 2008

Published in: Journal of Complexity (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jco.2007.06.001

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zbMATH Keywords

option pricingquasi-Monte Carlo methodseffective dimensionBrownian bridge

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60)

Cites Work

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• The Brownian bridge does not offer a consistent advantage in quasi-Monte Carlo integration
• Path generation for quasi-Monte Carlo simulation of mortgage-backed securities
• Generating Quasi-Random Paths for Stochastic Processes
• On the tractability of the Brownian bridge algorithm
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• Dimension reduction techniques in quasi-Monte Carlo methods for option pricing

Cited In (13)

• Valuing convertible bonds based on LSRQM method
• Title not available (Why is that?)
• How do path generation methods affect the accuracy of quasi-Monte Carlo methods for problems in finance?
• Fast orthogonal transforms and generation of Brownian paths
• On the tractability of the Brownian bridge algorithm
• An iterative algorithm to determine the number of time steps in path generation methods
• A new hybrid Monte Carlo simulation for Asian options pricing
• The Brownian bridge does not offer a consistent advantage in quasi-Monte Carlo integration
• On the use of dimension reduction techniques in quasi-Monte Carlo methods
• Efficient Monte Carlo simulation for integral functionals of Brownian motion
• Quasi-Monte Carlo methods in financial engineering: an equivalence principle and dimension reduction
• Quasi-Monte Carlo methods with applications in finance
• Forward or backward simulation? A comparative study

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