A central limit theorem and improved error bounds for a hybrid-Monte Carlo sequence with applications in computational finance
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Publication:2507585
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Cites work
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- scientific article; zbMATH DE number 3223982 (Why is no real title available?)
- A Probabilistic Result on the Discrepancy of a Hybrid-Monte Carlo Sequence and Applications
- A Quasi-Monte Carlo Approach to Particle Simulation of the Heat Equation
- High dimensional simulation
- Improved upper bounds on the star discrepancy of \((t,m,s)\)-nets and \((t,s)\)-sequences
- On the \(L_2\)-discrepancy for anchored boxes
- Randomized quasi-Monte Carlo methods in pricing securities
- Smoothness and dimension reduction in quasi-Monte Carlo methods
- The Brownian bridge does not offer a consistent advantage in quasi-Monte Carlo integration
- Variance with alternative scramblings of digital nets
Cited in
(16)- On the existence of low-diaphony sequences made of digital sequences and lattice point sets
- Improving Approximate Bayesian Computation via Quasi-Monte Carlo
- Discrepancy bounds for a class of negatively dependent random points including Latin hypercube samples
- Some large deviations results for Latin hypercube sampling
- On the uniform distribution modulo 1 of multidimensional LS-sequences
- Implementing de-biased estimators using mixed sequences
- A mixed Monte Carlo and quasi-Monte Carlo sequence for multidimensional integral estimation
- scientific article; zbMATH DE number 1390121 (Why is no real title available?)
- On Hybrid Point Sets Stemming from Halton-Type Hammersley Point Sets and Polynomial Lattice Point Sets
- On probabilistic results for the discrepancy of a hybrid-Monte Carlo sequence
- Correction of a proof in “A probabilistic result on the discrepancy of a hybrid-Monte Carlo sequence and applications”
- Ergodic properties of \(\beta\)-adic Halton sequences
- Entropy, Randomization, Derandomization, and Discrepancy
- Generating low-discrepancy sequences from the normal distribution: Box-Muller or inverse transform?
- Further discrepancy bounds and an Erdös-Turán-Koksma inequality for hybrid sequences
- On pricing discrete barrier options using conditional expectation and importance sampling Monte Carlo
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