An iterative algorithm to determine the number of time steps in path generation methods
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Publication:2814080
DOI10.1002/mma.3632zbMath1338.65005OpenAlexW2398409389MaRDI QIDQ2814080
Publication date: 17 June 2016
Published in: Mathematical Methods in the Applied Sciences (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1002/mma.3632
option pricingMonte Carlo methodsquasi-Monte Carlo methodsapplications to actuarial sciences and financial mathematicsBrownian bridge methodspath generation methods
Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Numerical integration (65D30)
Cites Work
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