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

DOI10.1016/j.jco.2007.06.001zbMath1133.91430MaRDI QIDQ2483201

Xiaoqun Wang, Junyi Lin

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

zbMATH Keywords

option pricing; Brownian bridge; quasi-Monte Carlo methods; effective dimension

Mathematics Subject Classification ID

91G60: Numerical methods (including Monte Carlo methods)

Cites Work

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