A central limit theorem and improved error bounds for a hybrid-Monte Carlo sequence with applications in computational finance

DOI10.1016/J.JCO.2006.03.003zbMATH Open1147.65300OpenAlexW1970797868MaRDI QIDQ2507585FDOQ2507585

Authors: Giray Ökten, Bruno Tuffin, Vadim Burago 

Publication date: 5 October 2006

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

Full work available at URL: https://hal.inria.fr/inria-00000118/file/PI-1726.pdf

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• A Probabilistic Result on the Discrepancy of a Hybrid-Monte Carlo Sequence and Applications
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zbMATH Keywords

central limit theoremoption pricingdiscrepancy boundscomparison with Monte Carlo and randomized quasi-Monte Carlo methodshybrid-Monte Carlomixed sequence

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Numerical integration (65D30)

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Cited In (16)

• Title not available (Why is that?)
• On probabilistic results for the discrepancy of a hybrid-Monte Carlo sequence
• Improving Approximate Bayesian Computation via Quasi-Monte Carlo
• Discrepancy bounds for a class of negatively dependent random points including Latin hypercube samples
• Ergodic properties of -adic Halton sequences
• On the uniform distribution modulo 1 of multidimensional LS-sequences
• Further discrepancy bounds and an Erdös-Turán-Koksma inequality for hybrid sequences
• Generating low-discrepancy sequences from the normal distribution: Box-Muller or inverse transform?
• Implementing de-biased estimators using mixed sequences
• A mixed Monte Carlo and quasi-Monte Carlo sequence for multidimensional integral estimation
• On pricing discrete barrier options using conditional expectation and importance sampling Monte Carlo
• On Hybrid Point Sets Stemming from Halton-Type Hammersley Point Sets and Polynomial Lattice Point Sets
• Correction of a proof in “A probabilistic result on the discrepancy of a hybrid-Monte Carlo sequence and applications”
• Some large deviations results for Latin hypercube sampling
• On the existence of low-diaphony sequences made of digital sequences and lattice point sets
• Entropy, Randomization, Derandomization, and Discrepancy

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